This is often caused by malware infection so you should be smart and ensure
that your computer is clean:

http://www.elephantboycomputers.com/page2.html#Removing_Malware

If you know the machine is virus/malware-free, then you can try this fix
from MVP Rick Rogers:

Click start, type 'regedit' and hit <enter> to open the registry editor.
Expand the keys at left to reach:

HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon

Click on this key, then locate the 'shell' string in the right pane.
Double-click it, replace the contents with just:

explorer.exe

Click ok, then close the registry editor and reboot.

Malke