I suspect a problem with the user profile? (shortcuts, settings, etc.)

Create a new user and log in under that new user.

Still have the problem?

I'm searching for .reg "tweaks" that would cause this... but so far... I've found none.
Just some to remove the shortcut or disable access to the drive completely...

Ah... here we go.

http://www.winguides.com/registry/display.php/148