Disable the desktop cleanup wizard
Windows XP
Registry Hack


User Key:

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Desktop\CleanupWiz]
Value Name: NoRun
Data Type: REG_DWORD (DWORD Value)
Value Data: (0 = enabled, 1= disable wizard)

See also:
http://www.winguides.com/registry/display.php/995/