This is the bit that tells you how to change the setting
You can view the DEP configuration for your computer in System in Control Panel. To do this, follow these steps:
1. Click Start, click Run, type sysdm.cpl, and then click OK.
2. Click the Advanced tab, and then under Performance, click Settings.
3. In the Performance Options dialog box, click the Data Execution Prevention tab.
4. Note if Turn on DEP for essential Windows programs and services only or Turn on DEP for all programs and services except those I select: is selected.
When your computer is configured to turn on DEP for essential Windows programs and services only, you cannot add an exception for a program. This is the behavior that is by design in Windows XP SP2.
If your computer is configured to turn on DEP for essential Windows programs and services only, and the DEP error message continues to appear, a program may be installed that extends Windows functionality. This program may be installed so that it causes a DEP problem in an important Windows program or service.
If you have carried out a system restore have you reinstalled all the windows updates after the restore point.