I searched the web and went to Control Panel > System > Advanced > Performance > Use drop shadows for icons and labels
I also checked to make sure that my background image was a jpeg and not an Active Website. But all the icons on my desktop are all translucent and not transparent. Including the shadow for the actual icon is gone and is replaced with Desktop Color 1 (Right click background > Properties > Appearance > Advanced > Desktop. What ever color is in Color 1 is the color that is translucent behind my icons instead of transparent with a drop shadow.