From XP Help:

To use personal pictures as a screen saver

Ensure that you have two or more pictures in a folder on your computer. You can upload pictures from a digital camera or scanner, or copy them from the Internet or an e-mail attachment.
Open Display in Control Panel.
On the Screen Saver tab, under Screen saver, click My Pictures Slideshow in the list.
Click Settings to specify the folder containing your pictures, define picture size, and set other options.


Just make sure this "exe" is an item you know. "exe" files are the ones that can carry viruses. Can you scan it before using?