That's Nautilus being retarded. The only way I have found to get rid of it is to install Ximian's GNOME Desktop (
http://ximian.com), which will give you Ximian's package (which does <b>not</b> pop up that damn window)... but it's a big download too (hundreds of megs).
That's one of those little annoying things that I hate about Linux. In Windows, there would be a box that would ask whether or not you wanted it to show up every fucking time you logged in. In MacOS X, it just wouldn't happen, period. In Linux, there's no way to get rid of it without installing a different version of GNOME. Go figure.
You'll probably be happy with Ximian though - Red Carpet is pretty nice (ala Software Update for MacOS X), though it kinda gives too many updates (and it's a pain in the ass to go through and select them all).
Anyway, there probably <b>is</b> a way to get rid of it, but I'll be damned if I can find it.