That was actually a bug in Internet Explorer that was fixed in IE6! - if
you're referring to Explorer windows only, and their opening on boot.
If you're referring to windows in general, then it may be that you have used
some form of tweaking tool, and adjusted the settings.

Try using the TweakUI program to adjust behaviour
download TweakUI 1.33 from here
http://www.aumha.org/freeware.php#tweakui
or
http://www.microsoft.com/ntworkstation/downloads/powertoys/networking/nttweakui.asp

Note - there are a few cautions with TweakUI:-
1) Do *not* change the first icon from "My Documents" on the Desktop tab
2) Do *not* uncheck: Search Results on the Desktop tab
3) Do *not* hide the Tweak UI icon on the Control Panel tab
4) Do *not* uncheck: Show Control Panel on Start Menu on the IE tab
5) Do *not* uncheck: Shell enhancements on the IE tab
6) To move "My Documents" folder, right-click on the Folder, and click
Properties.

After downloading, double-click to unzip it (it will normally unzip to
C:\Windows\Temp), go to the TEMP folder, right-click on tweakui.inf, and
click install.
It will place an icon in the Control Panel.

HTH