The chances are that when it happens your receive a "Critical Error" message of some sort. After you close that message it then kills all your Explorer windows.
There are numerous reasons for this to happen, and certainly far more than would be easy to explain. HOwever, the most common cause is simply that you have lots of little beasties running around in your machine.
You should first clean out all these beasties. I sugges using
Spybot Search & Destroy
and
Lavasoft AdawareSE
to first find and kill the majority of the beasties. Once they have killed a few off, you should then run whichever anti-virus software you happen to use, making sure you do a Full system scan and not the default scan (which usually only check the processes).
You should also make sure you have all the latest Q patches from the windows update site.
After doping all this, see if the problem still occurs. In most cases it doesn't (unless you are using filesharing programs such as kazaa or bearshare, both of which just happen to spend most of their time happily infecting your files). If the the problem does still occur, then you will have to start looking at the other more complex possibilities.