You can install LockHunter
and right click the folder after it appears, you will have a context menu choice of What is locking this file? This will show you what process is keeping the file open.
Or, try this:
Start> All Programs> Right click the Startup folder> Click on Explore
The Startup folder will open. See if there is something there that would explain this. If you see this folder there:
Right click the folder> Click Properties> On General tab, click on Hidden> Apply and OK your way out
I remember this happening with desktop.ini, but it would open a notepad window.