Check the properties of the folder see if it sheds any light. Does it have a name or just say new folder? Does it contain a tilde ~ ? I know years agon on my old computer Outlook Express had some sort of bug in it which every so often would create a desktop folder and the name of the folder had a tilde ~ in it.
A program is probably recreating the folder.
Check what's loaded in Startup in msconfig to find the parent program.
You might try renaming it and then deleting it.
But do the steps in the sticky for sure and post those logs here. You only mention running Spybot, do you also have a firewall and anti-virus program? If not go here and pick one each of the free ones listed.