Did you actually copy them from the camera to the PC?
If you were originally viewing them while the camera was connected, but are now trying to view them without the camera connected, that would explain the situation you describe.
Most cameras are detected as 'removable drives' by XP. Connect the camera, open Windows Explorer, see if you have an extra drive listed. If so, open it, and you will see each photo listed as a file. They can be copied just like any other file, i.e. right-click the photo (on the camera), select Copy, then navigate to a folder of your choosing (e.g. My Pictures, right-click and Paste into the destination folder.