There are many possible causes, and it is always difficult to pinpoint one.
My first guess in this particlar case is this. Has Internet Explorer been set as a startup application? If so, is the "internet" folder stored under C:\Program Files folder as well?
If answers to both are yes, what may be happening is that your computer is trying, on startup, to load and execute the file at C:\Program Files\Internet Explorer\iexplore.exe. However, when Windows sees the C:\Program Files\Internet folder, it thinks that's the right folder, and the process gets "intercepted". It tries to find iexplore.exe in the wrong folder, can't find it, and so just loads the folder.
If that is the case, either remove IE as a startup item, or move the "Internet" folder outside the Program Files folder (but programs in that folder may not work - so the safer course is to uninstall any programs in the Internet folder, then reinstall them at a different location).
If this is the wrong guess, post back and see if someone else can help.