A quick search led me to CVE-2010-2568, which isn’t in TCP/IP[1], but is an RCE vulnerability that could be triggered by a website triggering a file download and the user later opening the folder with the downloaded file in Windows Explorer. Windows XP with Service Pack 3 is vulnerable.
[1]: The CVE database has to have the worst search out of all bug trackers I’ve ever used.
(I think using older versions of Windows is fine. But under no circumstances would I connect them to the internet.)
Downloading a file is something that happens automatically when you e.g. navigate (or are automatically redirected) to a link which is served with Content-Type of application/octet-stream. Example: <https://0x0.st/H7bb.bin>. If you don’t modify your browser somehow, it’s not something you as a user can protect yourself against.
Not that I'd recommend browsing on an older, unpatched OS, but the modification in question is easy, and IMO worth the extra single click or keypress it introduces in exchange for eliminating "drive-by downloads" from questionable sites.
Chrome: Settings → Downloads → check "Ask where to save each file before downloading".
Edge: Settings → Downloads → check "Ask me what to do with each download".
Firefox: Settings → General → under "Files and Applications", check "Always ask you where to save files".
Safari (macOS): Settings → General → as "File download location", choose "Ask for each download". While you're here, uncheck "Open “safe” files after downloading" (Apple scare quotes "safe" appropriately, yet AFAIK still enables this option by default, even after it's been a factor in multiple exploits over the years).
