That has to be a visual style for XP. I'm going to take a wild guess and say you have Alcohol 120% or some other such software that creates virtual drives in My Computer. If you do, do like it says in the window there and disable it. In Alcohol 120% you do it by setting the number of virtual drives to zero...assuming thats whats going on here.
I have no clue what Im talkin about but it isnt that 'Starforce' copy protection thing that ppl are shouting about atm is it? Big culprit currently is Toca Race driver 2. Stops a lot o stuff from working apparently but I have no personal experience of it so I may be ttally wrong.
I've seen a few game site forums complaining about doom 3, Gamespot is the last one I saw it on I think. Sorry can't be more use.
Needs must when the devil vomits into your kettle.....