Ok, I think I may have fixed it. I just got the idea while reading a book unrelated to this whole issue. When I ripped the songs from the burned CD using WMP I had changed the rip directory to the new folder I had set up for the songs. Then I moved them to the external and deleted the folder but never changed WMP's rip directory. So, I am thinking that whenever I play media the folder then pops up to be expecting to receive a file.
I think this may be it and hopefully it will not show up again. Just when you think it is something malicious it usually is just something small you have overlooked. Anyways, thank you very much for your time and help.