I didn't really like the look of this one, but my suggestion would to be check the following in the registry
this is a registry edit so do so with caution
goto run on start menu and type regedit
on the left hand side do the following
double click hkey_local_machine
Double click software
double click microsoft
douple click windows nt
double click currentVersion
double click winlogon
Then on the right hand side scroll down and find shell and make sure under the data heading it says Explorer.exe
if it doesn't double click on shell on the right hand side and change the data field so it does say explorer.exe
as I said it's a registry edit so do so with caution and don't blame me if it goes wrong!