Verify that this setting is checked.
Start -> right click on "My Computer" and select "Properties"
On the left hand side select "Advanced system settings"
Under the Advanced tab, select the button in the Performance section labeled "Settings"
Under the Visual Effects tab, verify that "Show translucent selection rectangle" is checked. If not, check it.
Press the "OK" button.
Done.
edit: after I posted this, I Google searched for selection rectangle and found an article with pictures describing what I posted. So if you need help finding what I'm talking about ->
http://malektips.com/windows-7-deskt...rectangle.html