Are you sure you were not using File > Import > Audio… ? That shows you the message you quote in 2.0.5 if you try to import a project. Use File > Open… or File > Recent Files to open a project from within Audacity.
If you had the current Audacity 2.1.1 there would be a better error message telling you to use “Open”.
Also see: Important information for Windows XP users about security and safety.
Gale