Try temporarily switching off your virus scanner and see if that gives access to the link.
Post an example link that is a problem, others may or may not have problems connecting to it.
Work through some of the ideas in these links.
You Cannot Access Your MSN E-mail Account or Authenticate with a Web Site in Various Programs
Troubleshoot Situations Where You Cannot Connect to Secure Web Sites by Using Internet Explorer in Windows XP
This site also has some good thoughts on the issue:
You Receive a "Page Cannot Be Displayed" Error Message When You Post to a Site That Requires Authentication
Make sure your options in IE/ Tools/ Internet Options/ Advanced are correct.
Uncheck the boxes for "Install on Demand" for IE and Other programs (two boxes).
Try running temporarily with the third box "Enable Third Party Browser Extensions" unchecked and see how this goes.
"This specifies that you want to disable features you installed for use with Internet Explorer that may have been created by companies other than Microsoft.
If you encounter problems with Internet Explorer that you cannot resolve, you can use this option to help determine if third-party features are causing the problems without uninstalling the feature. You must restart Internet Explorer after turning this option on or off."
If that stops your errors, you will know where the trouble is.
See if System Restore will get you back to a restore point before your problem with Internet Explorer.
Run the System File Checker program from the Run Box by typing.....Sfc /Scannow in it and have your XP CD handy.
If they don't work you could try repairing windows by running it over itself. You will lose all your windows updates but your files will be untouched.
How to Perform an In-Place Upgrade (Reinstallation) of Windows XP (Q315341)