This is a question I received a while ago. After an upgrade to Windows XP SP2 the 'My Documents' folder always opened when Windows was started.
I ran msconfig, but couldn't find anything suspicious... After a while I found out there was something wrong with the 'userinit'-key in the registry.
The value of this key (HKEY_LOCAL_MACHINE\Software\Microsoft\Windows NT\CurrentVersion\Winlogon\UserInit) was C:\WINDOWS\system32\userinit.exe,C:\WINDOWS\system32\userinit.exe.
Changing this key to only C:\WINDOWS\system32\userinit.exe solved the problem.