Pata,
Something is running at startup, obviously...
Do a Start -> Run... -> MSCONFIG, click the Startup tab, and you'll find a list of things that run at startup. Most likely something like:
HKLMSoftwareMicro...VersionRun explorer.exe %systemroot%system32
HKLMSoftwareMicro...VersionRun explorer.exe C:Windowssystem32
or similar. Uncheck the box, and restart. You'll get a message box about it, just uncheck the "Show this at startup", and click OK.
Hope that helps.
Cheers,