Around the time IE6 was released, Microsoft fixed the bug where any Explorer folders you had open when logging out from (or shutting down, or restarting) Windows would be re-opened automatically at the next login.
"What bug", you say? "That wasn't a bug, it was a feature!"
Whether it was a bug or not may be a matter of perspective, but you would certainly not be alone in thinking the previous functionality was useful. If you prefer that Explorer remembers and preserves open directory windows, there is a way to restore the old behaviour.
Using your favorite registry editor, locate the following key:
HKCU\Software\Microsoft\Windows\CurrentVersion\Explorer\Advanced
Under this key, create a REG_DWORD value PersistBrowsers and set it to 1.
An even easier way is to create "explorer-persistance.reg" and run it to import the value into your registry. If you want to go back to the default folder-forgetting desktop, simply edit this .reg file and set PersistBrowsers to zero.
Copy/paste the below and save as explorer-persistance.reg :
----- Begin copy/paste below this line
REGEDIT4
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Advanced]
"PersistBrowsers"=dword:00000001
----- End copy/paste above this line.