I have actually heard of this being caused by a virus or malicous software, but other times it can happen for really no reason.
From here,
http://support.microsoft.com/?kbid=170086  | Quote: |  | | | | | | | | | | RESOLUTION WARNING: If you use Registry Editor incorrectly, you may cause serious problems that may require you to reinstall your operating system. Microsoft cannot guarantee that you can solve problems that result from using Registry Editor incorrectly. Use Registry Editor at your own risk.
Use Registry Editor to view the following two Windows registry keys: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\Curr entVersion\Run HKEY_CURRENT_USER\Software\Microsoft\Windows\Curre ntVersion\Run
Verify that all the values in these keys do not contain any incorrect, incomplete, or null entries (such as ""). MORE INFORMATION An incorrect entry in the following registry value has been confirmed to cause the behavior described above: Key: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\Curr entVersion\Run
Value: ActiveMovie File Extensions
Value Type: REG_SZ
Value Data: ActMovie.exe /Check
If the value data for this entry is null or appears in Registry Editor as quotation marks, you may experience the problem described above. To correct the problem, change the value data to match the entry above or delete the ActiveMovie File Extensions value.
This behavior can also occur if the Reminder value that has "" next to it is in the following registry key: HKEY_CURRENT_USER\Software\Microsoft\Windows\Curre nt Version\Run
You can resolve this behavior by deleting the Remainder value.
If you are uncertain whether an entry is incorrect or incomplete, you may want to delete all entries other than the default Windows entry. The following entry to run the System Tray is the only required Windows default entry: Key: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\Curr entVersion\Run
Value: SystemTray
Value Type: REG_SZ
Value Data: SysTray.exe | |  | |  | |
There may also be an entry in MSCONFIG that relates to it also.