From someone who had a similar problem:
It is possible that the Common Task Pane has decided to park itself on the desktop. It is a grey task pane about 4cm wide and normally has on it icons for "other places", "details", "folder tasks" (or similar). Does that sound like what you have?
Have a look at the registry entry given here
http://www.dougknox.com/xp/scripts_desc/xp_com mtask_desktop.htm and make sure the correct one matches what you have. If not, run the fix they supply.