bizarre file missing notification

After I ran MRU Blaster for the first time, every time I type a new URL into IE's address bar and hit enter a windows message alerts me that "C:\Documents and Settings\NetworkService\Desktop refers to a location that is unavailable...". When I click "OK", IE proceeds to load the webpage without further difficulties. (If it makes a difference, Spyware Guard and Blaster are installed and Guard is running). Any idea what's going on? I appreciate any help.

Dan