A couple of days ago, one of my WinXP (SP3) Machines started exhibiting a strange behavior on startup.
I have several short cuts on the desktop to folders I commonly access, I keep them in a column on the right side of the screen. Whenever I startup the computer, the top folder is now opening automatically. It doesn't seem to hurt anything and I can easily close it. It's just annoying.
I had not installed anything new on that computer for several weeks before it started (I have since though).
Auto Update is off, System Restore is off. Virus/malware scans show the system is clean.
Take a look and see if the desktop folder in question somehow ended up in your local user startup folder and if it is, simply remove it.
You didn’t mention what you were running for antivirus and malware. However, it would be a good idea to run the application again, making sure all of the available updates have been applied if there are any.
One more thing worth mentioning is the upcoming Windows XP End of Support date, which is April 8, 2014. Making the move to a modern operating system such as Windows 7 or Windows 8 is strongly recommended by then. You can find out more about what end of support means and what you can do to prepare you might be interested in this Springboard Blog post.