I had the extreme misfortune of using Windows XP today, and my experience was not brilliant. Upon startup I was greeted with this dialog:

Sure, it is true that closing Explorer will make your system more secure, but why not shut down Windows all together if Microsoft are going down that road? As it was, explorer.exe wasn’t terminated until the dialog was dismissed, so whichever imaginary security threat that caused this message was probably still running anyway.
Tags: windows