We're sorry. Automatic installation of Microsoft Virtual Machine is no longer provided for Microsoft Windows XP
When you come across a web site that requires Java VM you will be prompted to download the component but instead you get the above error. Check out Microsoft's article describing why:
http://www.microsoft.com/java/xp.htm
"In March of 2002, Sun Microsystems sued Microsoft, alleging in part that distributing the Microsoft VM in Windows XP to customers who wanted it via the Web was not authorized by Microsoft's license and therefore constituted copyright infringement. Although we dispute Sun's claim, Microsoft chose to stop IOD as requested by Sun, and did so as of July 10, 2002. Practically speaking, for Windows XP users who do not have the Microsoft VM and want a copy, there will be a short period from July 10 to the time Microsoft is able to make it available again through Service Pack 1 during which Windows XP users will be unable to get a virtual machine from Microsoft."
If you can't wait for SP1 for XP, you can get the free download directly from sun at:
** Update ** SP1 is now available for XP (Sept 2002)