It's been the default since Windows 95, and I suspect it's because it was just noise to the average and upcoming computer user (ignoring the fact that coolsong.mp3.exe would soon become a problem, since that probably hadn't happened yet). MacOS functionally did the same, so MS probably wanted to seem equally 'sleek'.

The fact that it continued to be the default past Windows 98/ME/2000, when problems caused by it were widespread, baffles me though.

I can't find a source to find an exact reason though, and given it's been a thing since 95, there might not been one out there.