I've heard of this kind of behavior when following virus removal instructions. Here is a link that touches on it.
http://home.tvd.be/ws36178/security/...8/startup.html
The 2nd #3. Using the Registry Shell Spawning capability of Windows, a specified program can be launched each time a file with a certain extension is started, setting it in the (Default) entry of the registry key HKEY_CLASSES_ROOT\EXTENSIONfile\shell\open\command, for example if we want to launch filename.exe every time another exe file is opened we should change the (Default) entry in HKEY_CLASSES_ROOT\exefile\shell\open\command from the standard "%1" %* to filename.exe "%1" %*.
If we want to apply this technique to files that aren't executables, such as HLP or MID, we should make filename.exe to invoke the actual file reader for that format (like C:\WINDOWS\winhlp32.exe %1 or "C:\Windows\mplayer2.exe" /Play "%L") in order to remain invisible to the user.