It sounds like the 'ole Active Desktop although im not sure if that is what it is still called in XP.
Right Click on a portion of your Desktop that still appears to be your Desktop background and select Properties. Select the Desktop tab and then click on the Customize Desktop... button at the bottom. Select the Web tab. See if the "My Current Home Page" item has a check in the checkbox. If it does uncheck it, press OK at the bottom, and press Apply at the bottom to get you back to your Desktop.
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