How to add exception with programs that has DEP error?

I have Windows XP Service Pack 2 and when I try to run a program, I am receiving a message from Microsoft Windows – Data Execution Program. When I hit the Close Message button, the box will automatically quit.

Data Execution Prevention – Microsoft Windows
To help protect your computer, Windows has closed this program.
Name: Windows Explorer
Publisher: Microsoft Corporation
Close Message
What can I do to prevent this?
And how can I add an exception to the programs I want to open.
Help please.
