Alternatively, if you're running Win98 or ME, got to Start -> Run, and type in 'msconfig' (without the quotes). Click on the startup tab, and get rid of any of the things you don't need. Make sure you keep checked the following: ScanRegistry, SystemTray, TaskMonitor, LoadPowerProfile, and whatever antivirus stuff you have loading. Click OK, reboot, and see if your problem goes away.
If you're running Win2K, you've got me. 🙂