See the Windows XP section here:
http://www.aspfaq.com/show.asp?id=2026

Some exerpts from a newsgroup search at
http://groups.google.com/advanced_group_search :

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Subject: Re: WIN XP --- Where is CDOMail????
Newsgroups: macromedia.ultradev
Date: 2002-05-10 20:46:27 PST

Windows XP Pro does not include CDONTS. It uses something called CDOSYS. To get
CDONTS functionality on WinXP you will need to copy the file 'smtp_cdonts.dll'
from a Windows 2000 disk, and register it on the XP machine.

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Subject: Re: cannot use cdonts.newmail
Newsgroups: microsoft.public.inetserver.asp.general
Date: 2002-05-01 02:39:21 PST

In WindowsXP cdonts isn't installed. Instead of CDONTS, WinXP comes with CDO.
You could try to make an object with CreateObject("CDO.Message")

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Subject: Re: cannot use cdonts.newmail
Newsgroups: microsoft.public.inetserver.asp.general
Date: 2002-05-01 00:12:47 PST

you'll need to get CDONTS.dll from someone with windows 2000 *OR* install an
alternative. CDOSYS is usable with XP, IIRC, as are Jmail, ASPMail and so on.
find components at http://www.aspin.com/

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Subject: Re: CDONTS installed with IIS on Win XP Pro?
Newsgroups: microsoft.public.inetserver.iis
Date: 2002-02-13 06:33:55 PST

Apparently, CDO for Windows 2000, at least in 2K and XP.  It's quite similar to
CDONTS, and I've used it on both 2K and XP successfully.

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Subject: Re: CDONTS installed with IIS on Win XP Pro?
Newsgroups: microsoft.public.inetserver.iis
Date: 2002-02-12 15:04:02 PST

CDONTS is actually not installed on Win XP Pro.  You can, however, copy it from
a Win2K installation into your winnt\system32 directory and register it to
enable it for your XP system.  Please note, this is not a supported "fix" by
Microsoft since they are phasing out CDONTS.
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--
torgeir