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how delete creation of unwanted folder

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how delete creation of unwanted folder

signart
Windows xp home
Each folder I create, another pops up within it, with the same name.
It is always 43,3 kb, and is a shortcut to "My documents.
If I delete it, it pops up next time I open the folder.
How do I delete it, permamently? - stop it happening?
I am NOT very technical!
Not life threatening, but irritating - and confusing.
I have a screenshot. How to show you?

Thank you in advance.