This is the Windows 7 Forum perhaps you should be in the XP Forum.
http://social.technet.microsoft.com/Forums/en-US/itproxpsp/threads
Are there any problems with that file, have you tried downloading it again?
What does right-clicking on the file and looking at the Properties tell you about the file? What does it say about size, is it zero? Is there any Unblock check box down at the bottom?
310560 - How to Troubleshoot By Using the Msconfig Utility in Windows XP