Configure Windows Explorer to show all hidden and protected files. Find and delete the file named Autorun.inf (in the drive's root directory), and delete it. After doing so, make sure to logoff and login back.

If that does not help, see:

"Open With" dialog appears when double clicking on a mapped network drive in My Computer:
http://www.winhelponline.com/articles/223/1/Open-With-dialog-appears-when-double
-clicking-on-a-mapped-network-drive-in-My-Computer.html

I am using Windows XP, after some virus attack I am having the problem, that
when ever I try to open any system drive (eg. C: or D: or E: .....) by double
clicking or right click > Open / Explore, every time the "Open with" window
appears.

Please help me to solve this issue without formating my system.....thanks