|tatorknit, several things come to mind. First, I'd examine the file properties. There's a file option to 'show on start up'. Make sure that's not checked.|
Next is the start up menu itself. Start>settings>control panel>startup. Make sure they didn't inadvertently get listed.
Possible it's in some sort of worm/trojan? Sorta doubt it, but I'd scan anyway just 'cuz.
You probably just need to hilite the files on your desktop and delete. Once you've got things the way you want, use the close option found under 'file' rather than the handier 'X'. That forces Windows to 'remember' settings.
Ed in Texas.