Not sure if you are asking how to find user activity tracking-related files that are related to INTERNET Explorer, or if you are searching for a way to determine what users are doing on the XP machine, so I will try to answer both.
If you are searching for user activity-tracking files that are related to Internet Explorer are located, you can check C:>Documents and Settings>person's user name>Local Settings......the History, Temp, and Temporary Internet Files folder should provide you with an idea of what the users are doing while using Internet Explorer.
If you want an idea of whats happening while on the computer, you can use Event Viewer, then you can save or export the Event Viewer logs and review them at your leisure. You can also config the system to audit specific things, in case there are specific activities you are looking for
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