Probably some program is doing something with it when you start up. To
isolate the program, go to Start > Run and type in "msconfig" (without the
quotation marks) and click the Startup tab. Uncheck every entry there except
the first one, then restart. Next, check one item at a time, restarting each
time.
What you are doing is enabling each start up item one by one. When the box
appears again for the first time, you'll know what program has caused it
(it'll be the last one you enabled). And you can investigate more.
While you're there, you might also want to disable any programs you don't
need loading each time your computer starts up. Disabling unused programs
from loading at startup will improve your computer's startup time.
You might also check for viruses/trojans etc (with an up to date virus
scanner/signature files), which could be doing something like that each time
you start.
Hope this helps some