In most cases, Windows Explorer makes its uninvited appearance if your PC has Norton's Internet Security or Personal Firewall, and if either of those programs is configured to load into memory when Windows Millennium Edition starts.
The problem is a Norton file. Symantec, Norton's vendor, has acknowledged the problem and has posted instructions on how to work around the problem at
http://service4.symantec.com/SUPPORT/nip.nsf/docid/2000040412261536