Data Execution Prevention (yeah, I know I typed Protection in my previous message) is included in Windows XP, but as far as I know, only activates itself if you have a processor with the special hardware to support it. I have an Opteron in my PC, so it is on.
If you have it, you will find it by right clicking on My Computer, select the Advanced tab, then select the Performance Settings button and you will then find the Data Execution Prevention tab there if your machine supports it.
http://en.wikipedia.org/wiki/Data_Execution_Prevention
has more info.