in the Startup folder in the Start Menu? if so, right click it to remove it.

If not, try the Startup tab of the System Configuration Editor and see if there is an entry that refers to this C:\Documents' folder.

Goto Start > Run, then type in msconfig , (that's MSCONFIG), and click OK. In the System Configuration Editor, click the Startup tab and see if there is anything that looks like C:\Documents'

If so, remove the tick, click Apply/OK

The next time you boot that should remove the error message.