Check this Registry Location
HKEY_CURRENT_USER\Control Panel\Desktop
Check the Value "SCRNSAVE.EXE"
See what location it is pointing to, and whether the Access Permissions for the Registry Key are correct.
"No guarantees this will work, as XP has very fussy notions about what is an acceptable screensaver:
. The file extension must be .scr
. The file must be located in %winder%\system32
. The screensaver must support dynamic installation. Right-click each screensaver file, Install. It either installs or it does not.
. Having "Installed" the screensavers, reboot before attempting to use. These are an odd sort of shortcut file internally to XP, and the registry needs to be re-read to accommodate your new installations of screensavers.
. If the above does not work, forget about that screeensaver. Find one that will pass the above tests under XP."
Check Group Policy (GpEdit.msc in Run Box).
Local Computer Policy/ User Configuration/ Administrative Templates/ Control Panel/
Click on Display and see if any of the Screensaver options are disabled.