First, always mention those details.
In 7, it's gone.
Picture at http://www.virgentech.com/stuff/explorer_no_horizontal_scrollbar.png
https://www.gpsoft.com.au/help/opus10/default.htm#!Documents/Prefs/Tree_Behaviour.htm notes how it changed from version to version.
For now it's a mystery why your XP has done this. The only clue I found was if I had right aligned text as noted at http://support.microsoft.com/kb/871006
Try another user account to see if it's some user choice.