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.