Back up the comments a ways, there is a post that will walk you through replicating the process. It is related to a Group Policy update that happens every so often. It is the most common cause amongst the people in here.
Thanks, James. I haven't sorted through to look for it yet, but is there a solution, or is it just that the reason has been identified and we are all waiting for the solution?
In short: Newly created explorer windows is affected, if a explorer window already have popped to the front it is then "safe".
Issue happens on gpupdate, which runs automatically every x minutes (think it was 90, or so), can be executed with command gpupdate /force.
Even though it is an group policy update issue, it works on AD and non AD computers.
Current solution: Close all explorer windows you are not using.