Well, if you want to change in all folders you have, then right click desktop, go to properties , go to appearance tab go to advanced settings, in the items, go to window and change the second color. (PS: I personalize almost everything!)
Basically you cannot change the FONT colour of a FILENAME in explorer in windows (microsoft is still in the stone age). There are only two options:
1. Use Xyplorer - a 3rd party software replacement for windows explorer which allows you to change the apearance of filename attributes.
2. Change the font colour to blue by selecting "Properties" for the filename and on the advanced tab select "compress file to save disk space" - this changes the filename to blue (to show that the file has been compressed).