I think Microsoft has a Browser Fairy working for them to collect browser debug information? For every error report you send, you get a free BSOD and system crash, not to mention an icon for each network share! :)
Can you at least remove those extra icons from your desk?
It seems like IE 6.0 and 5.5 have this "debug" feature built in as well. It is not just an XP thing. I think it might be able to be uninstalled, maybe 98-Lite?