Console and Windows Forms Quickstart "Run Sample" link does not work on Windows XP machines with Service Pack 2 installed

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[From the docs]

Due to the security enhancements applied by Windows XP Service Pack 2, clicking on the "Run Sample" link to run the console and Windows Forms Quickstart samples will result in no action. To change the default behavior of Internet Explorer, change the following registry keys to 1:

IMPORTANT: This article contains information about modifying the registry. Before you modify the registry, make sure to back it up and make sure that you understand how to restore the registry if a problem occurs. For information about how to back up, restore, and edit the registry, click the following article number to view the article in the Microsoft Knowledge Base: 256986 Description of the Microsoft Windows Registry

 HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings\Lockdown_Zones\0\2101

and

 HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\Lockdown_Zones\0\2101

Setting these registry keys to 1 changes default Internet Explorer behavior. If a web page tries to access Local Machine Zone, an Internet Explorer message box appears and asks if you trust the site accessing your Local Machine.