When you finally get started, check out this location in the Registry.
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon
Check that the Value @ Shell = Explorer.exe (and not something else).
Malware of all kinds should be eliminated as a cause by running the appropriate scanners, things like Ad-Aware, Spybot S+D, and a decent Anti virus scanner.
You can also see if you get this message in Safe Mode?
Does the message occur before logon? If not try logging on as another user in Normal Mode?
System Restore might be worth a try too.
Try running ChkDsk to check your drive for errors. Right-click your Drive icon/ Properties/ Tools/ Error Checking. Select both boxes.
Run the System File Checker program from the Run Box by typing.....Sfc /Scannow in it and have your XP CD handy.
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This free program will give a very detailed idea of all your automatically starting process.
AutoRuns for Windows v9.21