After a while using WMDC whenever I connected or disconnected my device to the PC WMDC would open opens the folder c:\Windows\System32\.
This started to get annoying so I googled the problem and here is the solution:
All you have to do is delete a registry value under the following keys:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows CE Services\AutoStartOnConnect]
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows CE Services\AutoStartOnDisconnect]
I had the same issue, that was related to a SQL CE start and stop function.
Credits of the findings to ErikEJ