You're welcome!
By the way, do you have XP Pro or Home? You may also need to prevent deletion of temporary Internet files, cookies and passwords...
If you have XP Pro,
Click on Start > Run > type gpedit.msc
Now on the left hand side, you can either expand Computer Configuration or User Configuration. Choose the former if you want to apply the settings for all users that use the computer and the latter if you only want these settings for the currently logged in user.
Now expand Administrative Templates > Windows Components > Internet Explorer > and choose Turn off "Delete Browsing History" functionality and enable it.
For XP Home:
Click on Start > Run > type regedit.
Navigate to the following registry key:
HKEY_CURRENT_USER\Software\Policies\Microsoft
Right-click on Microsoft, select New > Key
Enter Internet Explorer
Right-click on Internet Explorer, select New > Key
Enter Control Panel
Right-click on Control Panel, select New > DWORD Value
In the right pane, enter GeneralTab.
Double-click on GeneralTab to change the DWORD Value from 0 to 1 to enable the restriction.
If you want the restrictions to apply to all users, navigate to the following registry key:
HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\
Right-click on Microsoft and select New > Key
Enter Internet Explorer
Right-click on Internet Explorer and select New > Key
Enter Control Panel
Right-click on Control Panel, select New > DWORD Value
In the right pane, enter GeneralTab.
Double-click on GeneralTab to change the DWORD Value from 0 to 1 to enable the restriction.
Take note that if you've already created the Internet Explorer and Control Panel keys, you won't need to create new ones. Simply add a new DWORD (GeneralTab) under History in the right hand pane.
Don't forget to keep the DWORD History or else users will be able to delete the browsing history by opening History after clicking on Favorites.