Errm. No. On Windows XP there is no “Unlock” button in the Properties of any file.
I saw “Unblock” button on Windows XP, but it may not be the reason in your case. I don’t know why you have this issue. This issue is common if you download the program or Help file from Internet or Email. If you have not tried yet, please install using the original installer downloaded from trusted sites. I also recommend you to try the latest version of EmEditor Professional (currently version 8) since it has so many new features and it runs much faster than previous versions.