Possibly you have turned on Active Desktop. Check that it is disabled as follows:
Open the Control Panel.
Open the Display icon.
Click the Desktop tab.
Click the Customize Desktop button.
Click the Web tab in the Desktop Items window.
If you wish to enable the Active Desktop, check "My Current Home Page". Add your current home page into your desktop or click New to add another web page and/or other Active Desktop features. To update the content, click the Synchronize button.
If you wish to disable Active Desktop, make sure all checkboxes in this window are un-checked.
This last sentence is the one you should try.