What do you have for security programs on your computer? Firewalls, antivirus, antispyware, etc.? Anything that is loaded and may try to prevent DDE to protect your computer. I think there may be an option in Windows to disable DDE as well, though I have no idea where since I don't use DDE. It works fine here and I have XP Pro SP2.
You may also want to check through any scripts that are loaded in case there is an issue with those.
