A recent security update Security Update for Windows XP - KB896358 has modified the behavior of files you download from the Internet.
After saving the file locally (for example, to your Desktop), try to open the file. You'll see a message that looks like this:
To view the content in this file, click to clear the Always ask before opening this file check box, and then click Open.
Or, right-click the file, click Properties, and then on the General tab click Unblock.