Ok. Try creating a new account. Restart into it and see if that window appears in this new account. You know how to do this, right?
If you use Tiger (Mac OS X 10.4.x) go to your System Preferences ---> System ---> Accounts.
In that pref pane, you will see a Login Options.
(If you don't it's because your settings are locked. If they are click on the lock, authenticate with your admin password. You will now see the Login Options button.)
Click on it and you will be able to deselect your normal account and select the new account for the next restart. See what gives.
If the new account's Document window still pops up upon restart, this means the problem is system-wide. If it doesn't appear, this means the problem is in your usual account only.
In this case, you will have to restart in your usual account, (you'll have to backtrack what you did in the System Preferences i.e. you go back to the Accounts pane and choose your usual account in the drop-down menu, etc.) go to Macintosh HD ---> Users ---> Your user account ---> Library ---> Preferences.
Fish out and drag to the desktop the com.apple.finder.plist file. Restart in your usual account and see if the documents window still launches now. If not it would mean this was a Finder pref file that was corrupted and you will be able to trash the file on your desktop to the trash. But be aware that this procedure might obligate you in fiddling with some appearance settings you had put before.
Let us know how this goes. Hope this will solve this problem for you.