Sounds like another program is trying to launch at startup which has its working directory incorrectly stated. Check either of the startup groups c:\winnt\profiles\allusers\startmenu\programs\startup, or c:\winnt\profiles\%username%\startmenu\programs\startup and check for icons there. Check the properties of the icons to see if their working directory is set to c:\. Correct the entry as required, or consider removing the shortcut, depending on what it is.
If neither of those locations holdthe answer, then you will have to look in the registry with registry editor of other utility in the hkey_local_machine/software/microsoft/windows/currentversion/run, runonce, or runonceex keys, or even in the win.ini file, but based on your description, it sounds like you'll find the icon in a startup group.
Hope this helps, but if you need more info, let me know.
--Charlie