Y! Messenger creating unknown folder on desktop!

I have recently been chatting with someone on Yahoo! Messenger, I started chatting with her under 'name1' then I added her 'name2' to my friends list...we bacame friends, she told me she deleted the profile 'name2'. During the time we were getting to know each other on Y! Messenger, several times an empty folder would appear on my desktop named 'name2' !!!!
I didn't create it! Now, a day or two after I did a Y! Profile search for 'name2', Yahoo reports; "Sorry, but the profile you are looking for is not currently available ". Only minutes before posting this message, the same folder appears on my desktop as 'name2'!!!!
I deletetd the friend 'name2' yesteday!! Let me also add, when the folder was created last, Messenger was NOT running!!!! Can anyone shed some info as to HOW a folder is being created on my desktop without my consent?? Using Windows2000, Norton Personal Firewall, NAV kept updated, recently went through list of processes, not sure if I saw anything malicious there, a couple I couldn't Identify.

Thanks
-Ron

 

In Yahoo preferences, click on the File Transfer and the set the first 2 options to:

When other people send files to me: set to
Ask me for permission before downloading files.

When other people try to get files from me : set to
Ask me for permission to get files.