When a new user attempts to logon, but the default user profile is missing, they properly receive:
The operating system was unable to load your profile. Please contact your network administrator.
Unfortuneatly, an empty folder is created in %SystemRoot%\Profiles. Each attempt to logon creates an empty %SystemRoot%\Profiles\%UserName%.xxx.
The proper behavior would be to just reject the logon and NOT create the folder.
This bug has not been fixed as of SP5.