User Shell Folder

Hi: I have the following blocked in System Agent :
checkpoint: User Shell folder:

%USER PROFILE%/ Net ?
%USER PROFILE%/ Favorites
%USER PROFILE%/ Start menu

My only choice is Remove, what does all this mean?. How
can I unblock?. In IE I cannot access my favorites. Also
I cannot load software. I try to download iTunes.exe and
get the following message: unable to access the
following %USERPROFILE%/Start Menu.