1st Boot Problems??

I have a Dell4100 Pen III 933/133 384mb 20gb Wins ME. When I first boot my sys, my desktop is not completely like it was when I shut down the comp. I have to do a reboot to restore the desktop to what it should be. I am confused as to why it is doing this?? What software could be doing this?? I have the following:
AdAWare SE Personal
CrapCleaner
SpyBlaster
SpyBot S &
AVG 6.0
Zone Alarm Pro (trial version)
RamBooster

Could any of these be doing this?? I keep all these updated! Has anything like this happen to anyone?? Im totally confused? ODIE

 

Be more specific. What exactly is different when you boot it the first time? Give an example.

 

SAGEM:
MY Wins Media Player has ommitted my playlist in The startup, and I have to reboot to get them back the playlist. Also some of the installed programs are not on the desktop. Is the system restoring itself?? Do I need to uninstall System Restore to prevent this from occuring?? I just want to know if anyone has had the same problem and if so how do I correct this problem??
Thanks for your responce. ODIE