See possible solutions to this problem below.  I have been having the same problem.  I resisted the first solution below for a while because my problem was with Windows "Explorer", not Internet Explorer...however, the IE repair actually fixed the problem!  You may need to have your Windows installation CD handy (I386 directory), and also if you have installed XP SP2 you will need to point the repair tool to the windows\servicepackfiles\I386 folder as well.

Ken

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Repair IE

Start > Run rundll32 setupwbv.dll,IE6Maintenance "C:\Program Files\Internet Explorer\Setup\SETUP.EXE" /g

or

Start > Run rundll32.exe setupapi,InstallHinfSection DefaultInstall 132 C:\windows\inf\ie.inf

Reinstall IE
Description of the Internet Explorer Repair Tool
http://support.microsoft.com/default.aspx?scid=http://support.microsoft.com:80/support/kb/articles/Q194/1/77.asp&NoWebContent=1

How to Reinstall or Repair Internet Explorer and Outlook Express in Windows XP
http://support.microsoft.com/?kbid=318378

Repair Internet Explorer 6
http://www.theeldergeek.com/repair_ie6.htm
http://support.microsoft.com/?kbid=293907

Also check for spyware

Spyware/Adware removal tools
What is spyware: http://www.spychecker.com/spyware.html

SpyBot-S&D: http://www.snapfiles.com/get/spybot.html

Ad-aware: http://www.snapfiles.com/get/adaware.html 

Trojan Remover: http://www.simplysup.com/

KL-Detector: http://www.snapfiles.com/get/kldetector.html 

X-Cleaner Free: http://www.snapfiles.com/get/xcleaner.html

SpywareBlaster: http://www.snapfiles.com/get/spywareblaster.html

Spycop: http://www.spycop.com/

Goodbye Spy: http://www.topshareware.com/GoodBye-Spy-download-2012.htm

Other spyware removal instructions:  http://www.pchell.com/support/click2findnow.shtml