Your system is probably infected by a trojan. Do the following to check:
1) Type system.ini in start/run [enter].
2) System.ini will now be opened in Notepad.
3) Look for the following line: shell=Explorer.exe openme.exe [under the "Boot" section)
3) Remove openme.exe (the line should be now: shell=explorer.exe)
4) Save system.ini and reboot.
5) Search your hard disk for "openme.exe" and remove it.
Cheers,
PD