All Desktop Shortcuts Look Selected in Windows XP — How to Fix
Sometimes Windows XP has this problem: all the shortcuts on the desktop look selected — the icon labels sit on a colored background. Nothing serious, but it looks odd, as if everything were clicked, even though it isn’t.

In short: most often Active Desktop is to blame — a web page “locked” onto the desktop. Turn off the desktop web items and enable shadows for icon labels — three ways below.
How to remove the highlight from desktop shortcuts
Check these three options — one of them is causing the effect.
1. Unlock web items. Right-click an empty area of the desktop → Arrange Icons By → if “Lock Web Items on Desktop” is ticked, untick it.
2. Turn on shadows for icon labels. Right-click My Computer → Properties → Advanced tab → under Performance click Settings → Visual Effects tab → tick “Use drop shadows for icon labels on the desktop” → OK.
3. Turn off desktop web pages. Right-click an empty area of the desktop → Properties → Desktop tab → Customize Desktop button at the bottom → Web tab → untick all web pages in the “Web pages” list and click OK. If there’s an address or path listed, delete it.
In my case the third option helped — maybe it will help you too.
Why this happens
When Active Desktop is on (a web page or web item as the background), Windows XP stops drawing icon labels with a transparent background and puts them on a solid fill — so it looks as if all icons are selected. Remove the web items and the labels become transparent again.