I have seen this before and you are right, it is freakin' annoying. If you are using Win98 or 98se, go to Start, Run, type MSCONFIG, and press Enter. Then, click on the Startup tab and see if you see any reference to that folder in there. If so, take out the check mark, click Apply, OK, and restart your computer.
If you are using any other Windows OS (i.e., 95, 2k, etc.), then you may be able to find that reference in the Registry. Let me know if you need to know how to try this.
Hope this helps. 🙂