Hmm. Sounds like a problem with the registry, or perhaps a virus? Open your virus scanner directly through the .exe file and give it a once-over. If you can't (or don't know how to) find the program file, try
Trend Micro HouseCall.
If your AV doesn't show up anything, open regedit.exe in the Windows folder, look in HKEY_CLASSES_ROOT and see if you spot anything suspicious - specifically, look for a folder value called "lnkfile". If it isn't there, this may be the root of your problems. In which case, a System Restore or a repair from your WinXP CD may fix the problem.