What folder is it? System32? If so:
Visit MS-MVP Kelly Theriot's page at
http://www.kellys-korner-xp.com/xp_tweaks.htm and scroll down
to Item No. 260. In the right column, click on "System32 Folder Opens
Upon Boot". Download this repair file and then run the repair.
To read more about this issue check out the Microsoft Knowledge Base Article
System32 Folder Opens When Logging on to Windows
http://support.microsoft.com/?kbid=170086
Otherwise check your startup entries via
Start/Run/ msconfig | Startup
Look for this folder entry & unclick it from the list.