My guess would be the OE has been uninstalled and has just left the shortcut.
Go into the 'Control Panel' then 'Add/Remove Programs' and then 'Add/Remove Windows Components' and then scroll down to 'Outlook Express'. If it's unchecked, check it and it should reinstall it. You may need your XP CD and you will also need to run Windows Updates so it can repatch if needed.
If it's checked, I'd uncheck it and reboot, then go back in and check it again to reinstall it. Repatch after installing it.