There is a number of issues that cause this but some of the common fixes are below.
1. Install patch WindowsXP-KB946627-x86-ENU.exe
2. Browse to C:\WINDOWS\inf right click ie.inf and select install.
3. Windows Update
4. SFC /Scanow (Requires Windows XP CD in drive)
5. Clear Internet history/cache etc
6. Create new profile (If problem doesnt occur when someone else is logged in.)