In XP, simply right-click on "My Computer" and click on Properties. Click the "Advanced" tab, and then click the "Settings" button under the section labelled "Performance". Look for the option that says "Use drop shadows for icon labels on the desktop". This will get rid of the highlighting around the text, but it will also add a drop shadow. If you don't want the shadow effect, you can also get rid of the box with D-Color XP
without adding the shadow.
In Windows 95/98, there is a similar utility called Disappear
. I haven't personally tested it, but it should work just fine.