RyeJS is another alternative, though it focuses on speed, modularity and having an understandable source instead of size. Clocking at 6.2kb.
(disclaimer: I'm one of the authors)
(disclaimer: I'm one of the authors)
(And I do curse Microsoft for making IE 9 Vista+ only browser, which is quite likely explainable by use of some shiny new undocumented API, that wasn't available in XP and before. Microsoft and their browser tightly coupled with OS...)
Firefox, Chrome and Opera are available for Windows XP :)
I seriously doubt the reasons Microsoft gave for not supporting it are valid. Even if the sandbox mode could not be used there is no reason why the browser and rendering engine could not run on XP if the proper system DLLs were present, and these could have easily been included with the install as Microsoft does in many other cases.