A possibility is the Language Bar may be floating on the desktop:-
SYMPTOMS
When you close a Windows Explorer window, Windows Explorer may stop responding (hang). This problem may occur if all of the following conditions exist: ? You use the Korean Global Input Method Editor (IME) tool for Microsoft Office XP.
? You set the Korean Global IME to be the default input language.
? You have the Language bar floating on the desktop.
http://support.microsoft.com/?kbid=315094
In Windows XP, when I right-click a file or folder, sometimes my CPU goes up to 100%. Why?
MS KB Article 819101 has more info:
In Windows Explorer, when you right-click a file or folder, you may experience any of the following behavior:
Any file copy operation that is occurring at that time may appear to stop responding.
http://www.petri.co.il/windows_xp_right-click_bug.htm