Pick an Explorer window, any will do.

Go to Tools->Folder Options
Click the View tab
Scroll down until you can see Launch folder windows in a separate process

Is this checked?

Further questions:

Have you installed Windows XP Service Pack 1?

Sun Java?

What software is on the machine?

Do you have current, working antivirus protection?

I don't do very much with XP Home - XP Pro is my bag if I can't get Windows 2000.