I'll try to keep this as basic as possible
Click Start, Run. Type regedit and click ok.
The regedit application will open. On the left of the screen will be 5 "links" listed under "My Computer". Click on each on of these in sequence.
HKEY_LOCAL_MACHINE>SOFTWARE>Microsoft>Windows NT>CurrentVersion>Winlogon
You're only looking for info here so don't worry about stuffing it up.
In the window on the right find where it says shell. Should be 8th from the bottom. What's the data value? (thrid column)
Should be Explorer.exe and nothing else.
What does it say?