More than likely you have some malware, spyware, trojan, virus, or some other background program running, you are not aware of, hooking explorer.
What operating system is this?
Do you use Internet Explorer for WEB browsing?
If you do, have you left Internet Explorer's at its default security settings?
If you get here due the above questions being answered "Yes", then you probably have some very nasty programs running on your computer you are not aware of.