I've done enough checking to determine that the AUTOEXEC.NT file is getting deleted when Windows XP Pro shuts down.

If I set the read-only bit then the file is not deleted but I would like to find the real reason this is happening.

Found the problem and it was a program called WindowsAdTools which got installed somehow.

C:\Program Files\Windows AdTools\WinAdTools.exe It runs all the time in the background so you cant delete it.

You can try add/remove programs but the only way i found to delete this program was to start the computer in dos and delete the directory

I had no problems but i have seen an article where this solution did cause problems.

Another possible cause

What's happening is your Autoexec.nt file keeps getting deleted by a file named WINDUPDATE.EXE. Note the spelling it's not WINUPDATE.EXE. I found out that Windupdate.exe was deleting my Autoexec.nt file after a boot using the Audit command. You will find the Windupdate.exe file in \Program Files\Windupdate folder. Delete it! Go to the registry and remove all references to Windupdate. Now put a good copy of your Autoexec.exe file in your\system32 folder. You don't have to check the "read only" attribute for it now. There are a ton of folks getting this pest!