You're not hitting the windows key or ctrl-escape when this happens, are you?
Do you have anything running in the background, or have you installed anything recently that may have set itself to always be running? anti-virus, chat, email, web browsers, audio / video players, screen savers, anything that pops up reminders / updates, wallpaper changers, etc. There are a few processes in Windows XP that are always running, but you don't need to worry about these. In Windows 9x/ME you can shut down everything but Explorer and Systray.
