Even if you don't use IE, it's part of Windows. It has to be on your machine and can't be removed without disabling a bunch of things.
Since it's on your machine, malware can use it, even if you don't, so you MUST KEEP IT UP TO DATE, whether you use another browser or use it. Most of the critical updates for IE will be part of the WinXP Critical Updates, so you don't have to do separate IE updates.