You see this probe request in airodump as well ?
Sure this is not simply a laptop with wireless scanning for available networks ?
If you dont turn off the wireless on the average windows laptop then it will keep searching for a connection.
I would fire up airodump and see if it is looking for a certain BSSID or just probing for networks.
And of course.. if it is able to connect to your AP without having to do anything.. it would seem
your security on your AP needs some beefing up