I've been looking at this for about a month since I knew it would effect me.
I think it can be pretty effectively worked around if your intent is to display some content (advertisement, instructions, etc) before launching a download the user requested (as opposed to forcing them to install malware upon landing on your site)
<a href="/download.exe" onMouseDown=(do something to the current page)>Click Here to Download</a>
To have this work the action will need to happen between the mouse going down and coming back up - so the content will probably have to already be loaded / cached.
After some tweaking I got this working with Firefox and IE - whether it flies with the actual XP SP2 hasn't been tested yet.