I don't use XP but web security settings are usually controlled from your browser rather than through your operating system, so this should work . (I'm assuming that you're using Internet Explorer. These instructions are based on IE5 but they're probably the same for IE6):
Open Internet Explorer.
Click 'Tools'
Click 'Internet Options'
Click 'Security'
You'll probably find that the Internet Zone is already selected. If it isn't, click on the globe icon to select it.
If you're offered a selection of levels (High, Medium, Medium-Low or Low) try dropping thiis down one level from that which you've currently got. (Medium or even Medium-Low is probably safe enough as long as you're running a firewall program).
If you don't see these options but, instead, there's a buttom marked Custom Level, click this button, then use the box at the bottom of the panel to choose Medium or Medium-Low. Then click 'Reset'.
Click 'OK'
Click 'Apply'
Click 'OK'
Chris
(PS: If you continue to have problems you might need to check your firewall settings as well. Better still, get a decent browser, like Firefox!).