Gray dotted highlight box

The box I am talking about is the one that appears after you select an item. For instance, if you select “My Computer” through a terminal session the icon will display a gray box around the icon name. Now if you click on the desktop the box still stays around the icon name.

I need to know how to make the gray dotted highlight box appear on Windows 2000 desktops. It automatically appears through terminals services but not on a normal Windows desktop.

TIA,
Vince