Windows XP Pro SP2. I can however access Folder Options from the Tools menu in Windows Explorer.
So nothing happened when I double-clicked Folder Options in Control Panel. Right-click then select Open didn't do anything either. No errors, warnings, or alerts at all. I'm using an administrator-equivalent user account with no password set.
I did a full scan with Avast 4.8 and it detected nothing on my PC. Left me wondering what caused this.
Edit - I use bbLean 1.17 as shell which is apparently the source of the problem. As pointed out by John T.