Please see Important information for Windows XP users about the risks of of using XP.
Please note, Audacity 2.1.0 requires XP Service Pack 3 and a CPU that supports SSE2 instructions. Please see “Extra notes for Windows” in the yellow boxes at the top of http://wiki.audacityteam.org/wiki/Release_Notes_2.1.0.
Right-click and “Save as” does not work on http://web.audacityteam.org/download/windows or the other download pages because the download links redirect to our trusted download partner http://www.fosshub.com/Audacity.html. Right-click will not work on FossHub either - as with our site, you will just download an HTML page if you right-click.
You can try right-click over the problem file, choose Properties and look at the attributes/blocking or Security settings. If Chrome or something else has a handle open on the file, try Unlocker.
Gale