If you are using the MSHTML package in your .NET application, be aware that Visual Studio .NET 2003 does not copy it into you project. Instead, it references it like any other assemblies of the .NET framework.
The problem is that this DLL is not installed by default on a Windows XP SP2 system. So when you launched your .NET application, it miserably failed with a cryptic error message. The solution is to tell Visual Studio to make a local copy of the DLL so it will be include in the redistribuables files of the application. Select the MSHTML reference and in the properties sheet, set "Copy Local" to true. That's it.