Removing the text below an icon on your desktop has been a classic Windows tweak for years.  In Windows Vista, the same old tweak works. 

1. Right click on the icon and select Rename.
2. Then hold down the ALT key and type in 255 on your right keypad. If you are on a laptop turn on numlock and use the K and I keys to enter in 255. This is the code for a space.
3. Hit Enter when you are done.

If you want to remove the text from multiple icons then make sure that you do ALT + 255 a different number of times for each icon.