Here’s the two versions side by side.
To set the transparent background on the icons, we’ll need to open System Properties in Control Panel (or right-click on My Computer and select Properties).
In this dialog, click the Advanced tab, and then the Settings button under the Performance section.
Now scroll down to the button where you’ll find a checkbox for “Use drop shadows for icon labels on the desktop”. Make sure you check this box if you want transparent backgrounds on the icons.
Why this option isn’t just labeled “Enable Transparent Icons On the Desktop”, I just can’t say.
Update
If the above does not work, you might want to also check these additional settings suggested by readers in the comments.
You can’t be displaying a web page as your background. To check this, right-click on the desktop and choose Properties. Select Customize desktop on the Desktop tab, then select the Web tab on the desktop items window and deselect any web pages that are shown. You need to make sure that High Contrast is not selected under Accessibility \ Display Options in your Control Panel.