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.