Windows Vista: Desktop problem

Desktop problem

I don't know how to describe this problem in a few words, so here goes. Vista Ultimate 32 bit. Occasionally, when I have right clicked on something, I will get a small balloon window that pops up with something in it like close, exit, etc. The problem seems to be that the small balloon does not go away, and the only way to clear it is reboot. It is more annoying than anything else, and I have no clue why it is happening.
If anyone knows why this might be happening, and how to get it to stop, I would really appreciate it.