I recently installed Fences to try it out on my work PC.

Win XP Pro SP2
IE 7

Then, whenever I locked the workstation, a window Start Menu\Programs would be opened.  When I unlocked, there the window sat, waiting for me.  After I uninstalled Fences the problem went away. 

I don't really need a fix or anything, I just wanted to toss the behavior out in the open so could be checked into.

Cheers.