I don't quite understand the
%System%. Do I have to find the file
AcroIEHelper.dll under this folder?
I had an instruction to delete this AcroIEHelper.dll. But not sure if I have to look it under System folder...
This is an environmental variable in Windows. The most commonly known one is PATH but there are many others. You can find out what variables are set by opening the Command Prompt and typing
If %System% is defined on your XP install (it is not on my Win7 install) then you should be able to type it into your Explorer bar or Run... or at the Command Prompt and it will translate to the correct folder.