Have you been anywhere and accessed anyone's wireless recently? I've noticed shares will come up and not go away when I've taken my Macbook to other places and logged into other people's wireless networks. It's kind of a bit of a bug with Finder and shares.
Alternatively, someone could be on your network and has a shared folder. Also you could be on someone else's wireless network and you're seeing the share. Macbooks are very tenacious about picking up and connecting to unsecured wireless networks. For example, I was recently at a friends house and woke up my Macbook with the intent on getting on her unbroadcasted, very secured wireless. While she was in the process of setting it up so I could be allowed on her network, my macbook obediently connected to someone else's network that because it was unsecured and default named (linksys) my Mac thought it was a 'remembered' wireless network!
Anyway, check in the Airport drop down to see what network to which you are connected. Make sure it's your own. If your network is unsecured, secure it with a WEP or WPA password. Otherwise, don't worry about it. Your Mac is pretty safe out of the box.
