Fortunately, there's a solution - even Microsoft know about this. And it's weird. My initial google search on this brought back this handy little site:
Which lead me to this Microsft knowledge base article:
Which lead me to opening the registry editor (Start -> Run -> regedit), following the path down the registry folders to:
And finally deleting the entry for "MultiScreen", which had a value of " ". Like I said; Weird.
Anyway, this seems to have solved the problem. Why there is code somewhere inside Windows which opens the System32 directory when you log in if there is an invalid registry entry is beyong me, but at least it's fixed now.