For all who wish to comment to Microsoft on this issue, a URL for free support online is
<https://support.microsoft.com/contactus2/emailcontact.aspx?scid=sw;en;1214&ws=support>

What's interesting about this issue is just how broken the XP internals are for color management. If one copies an image from a web page to the clipboard (Right-click, then copy in IE) and then pastes this into Photoshop, the image comes in without any color management tags. So the tags are lost in the Windows Clipboard. However, if one right-clicks on the image in the browser and saves it as a file, then opens it in Photoshop, the profile of the image comes through.