Try Start->Programs->Accessories->right click command prompt and select run as administrator (yes)->type sfc /scannow and press enter. When the scan is over paste the following into the command prompt and press enter. It will drop a text file of the scan results. Hopefully, you will be at least able to open the file:
findstr /c:"[SR]" %windir%\Logs\CBS\CBS.log >"%userprofile%\Desktop\sfcdetails.txt"
Does this happen in Documents folders, program folders, other drive folder etc. or is it just the desktop? If the problem is only on the desktop, edit the above command line to drop in Documents instead of Desktop...