I can't deny that there certainly doesn't seem to be any way of doing it, and I'd believe that that was the case if the option didn't seem to exist in the 'display properties' menus ...
I'm not sure if this is the same question as has been asked elsewhere, so please accept apologies in advance if it is : as far as I can tell, other questions seem to relate to a slightly different issue. In Windows XP, it used to be the case that the text underneath a desktop icon...