Thanks for everyone's suggestions. I finally fixed my problem!
I went through Taun's 3 steps in post #4, but nothing has changed.
I then noticed under 'Display Properties', there is an option called 'Color'.
Whatever color this is, it is set to my desktop icon's caption text, which is
strange, because the desktop caption text used to be transparent before. There
was no color.
I then tried installing TweakUI, but I couldn't find where it was located.
Couldn't find in Control Panel either.
Last, I tried Dial-a-Fix, with its 'Flush Icons' tool, and nothing changed
either.
At this point, I went back to the My Computer -> Properties -> Advanced ->
Performance -> Settings -> Visual Effects -> "Use drop shadows for icon labels on the desktop" option,
and checked it, and I couldn't believe it. The text transparency came back!
This didn't work before, so I can only assume something was corrupt.
Thanks again for helping me out.