Try downloading and running the "SCR" fix from here http://www.dougknox.com/xp/file_assoc.htm
That should give you back the functionality.
If you have issues with the icons in "C:\WINDOWS\System32" folder not being correct for the screensaver files, you can try creating a "DefaultIcon" (REG_SZ) sub-key under "HKEY_CLASSES_ROOT\scrfile", and give it a "%1" value.
Note - this sub-key is not there under a clean installation of the OS, but has been known to provide a workaround fix for the file icon issue.