The folder says HP on it, so my guess is it would have been the HP setup folder on the "C" drive -- but in looking at the contents, they look like PowerPoint training slides, and those would not be in the HP setup folder. Also, you mentioned PDF files but these are clearly PowerPoint.
My suggestion is to go into Startup (Ctl-Alt-Del -> Task Manager --> Startup tab) look through the list and disable anything you do not recognize. If there is a shortcut or app there launching file manager for that folder, this should solve that.
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