There is not a known problem in the Drop 5 running with Windows XP Professional SP2. I was able to download and run it in a similar environment without any issues.
Sometimes, when you download a zip file, this is blocked by Windows XP SP2, you should check if the file was blocked because this could be the cause of the problem.
If this happens, you can unblock the file by right-clicking it and choosing the “Properties” option, then you should click the “Unblock” button in the General tab.
Given this is a self extracting file, you could check if you are having any trouble with a different file of the same type, because it could be a configuration issue.
And also, you can use a MD5 tool to check if the downloaded file is correct. I calculated the MD5 hash for the Drop 5 file so you can compare it with your file:
Prism v2 Drop 5 -MD5 hash: FA378329436E7ADD9BF09DEC32D6D376
Please, let me know if this helps.