New KB article - links do not open in IE6 on XP SP2 or Server 2003 SP1
A link does not open in Internet Explorer 6 on a computer that is running Windows XP Service Pack 2 or Windows Server 2003 Service Pack 1
This issue is a result of automatic download blocking, a feature whereby downloads that are hosted on a Web site are not opened automatically.
If a Web site you visit is coded to automatically download files to your computer, which is a *bad thing*, you can follow the advice in the workarounds to get around the problem, but I do not recommend this.
If you disable the "automatic prompting for file downloads" security feature, if you visit a malicious site, or a site that has been hacked and hostile code inserted, then you at risk of accidentaly accepting a download and running dangerous software.
To quote Microsoft "We recommend that you do not disable the Automatic prompting for file downloads setting, and developers must not rely on users disabling this setting."