Snarph...the problem usually lies with the fact that Explorer.exe [the shell] and Explorer.exe [the file manager] are one and the same. 'Serious' 'STEPpers will tend to shy away from Explorer.exe [the file manager] as well as the shell...and use the likes of PowerDesk...which is a better file manager, anyway.
Not everyone gets that problem in 2K or XP [I never seemed to], but other equally 'experienced' users have been known to.
Just ditch every version of Exploder that you can...your system will thank you for it...