Yet another thing that drives me nuts about XP. I'm sick of having to tell the system over and over that I actually DO want to run the program that I just executed. This will prevent that dialog box from popping up every time you try to run a new file on the system.
Run gpedit.msc, and go to
Local Computer Policy
->User Configuration
->Administrative Templates
->Windows Components
->Attachment Manager
Enable "Default risk level for file attachments"
Enable "Inclusion list for low risk file types"
Add the file extensions that you want to open without being bothered.
.exe; .zip; .rar; .doc; .xls; .com; .bat; .lnk; .msi;
I'll update this list if I make additions to it.