Does connecting and/or disconnecting a Windows Mobile handheld to your desktop result in an Explorer window opening? It has been happening to me for so long, and it is really annoying. Long story short, this is caused by a registry entry.
Navigate to HKLM\Software\Microsoft\Windows CE Services\AutoStartOnConnect. You will see a value for (Default) with the data set to what appears to be null (nothing visible in the data field). Click on the (Default) name and then press the delete key. This will change the data to be (value not set). If the same thing happens when you disconnect your handheld, do the same thing in the \AutoStartOnDisconnect key. The change takes effect immediately.