I'm not sure what could be creating it, but I would use SysInternals Process Monitor to answer that question. It's a piece of Microsoft software which allows you to monitor many things, but in this case you could set up a file filter.
When you first start the program, it pops up a Process Monitor Filter dialog box. Select
Path from the first dropdown, and then the path to the file (e.g.
e:\notify) as the value of the filter, and then hit the
Add button and click
OK. Then let it run until the file appears. Once the file appears, Process Monitor should show you which process is creating it.