I believe xp uses a server called IIS (internet information server). Search for that in your programs or on your install disk (the other option is PWS, personal web server, but I don't think microsoft included that with XP). The program needs to be running, it needs to be told that thte folder where you have your scripts has scripts that need to be interpreted, and you also probably need to link to the page in question rather than just opening it.
IIS should create a folder called inetpub (or maybe wwwroot), you need to put a default HTML page on that folder which links to your page, and type the following into your address bar: http://localhost/default.html , then follow the link to your scripted page.
If you just try to open the scripted page, windows explorer bypasses the server and just opens the file, but if you get to the file from a hyperlink, internet explorer will contact the server (IIS) and ask for the page, IIS opens it, interprets the script and sends it to IE. You obviously don't need to worry about bypassing windows explorer if the page is hosted on a different computer.