A little known security feature in the most recent service pack of XP and in Windows 2003 is DEP. This is an important security measure for blocking bad computer code from taking over your computer. One of the most common ways to compromise a computer is to invoke what is called a buffer over-run. Simply put, a program maliciously inserts bad code into the computer's memory so that the computer generates an error and goes back to the original program. What the malicious codes does is to insert instructions that brings the computer "back" to its program and not your program. It now has control over your computer.
DEP helps to stop this problem by locking down areas of the computer memory so that this trick cannot work. It's a bit complicated to explain how all this works, but it is important for you to know that this security system is present and should be turned on. Below is a link to the Microsoft site that describes the system in detail.
A detailed description of the Data Execution Prevention (DEP) feature in Windows XP Service Pack 2,: "Describes the Data Execution Prevention (DEP) feature in Windows XP Service Pack 2 (SP2), in Windows XP Tablet PC Edition 2005, and in Windows Server 2003."