IndivBox.key will be downloaded from microsoft server at the first time you try to play DRM protected media. Or if it is already downloaded before, then you should delete the DRM folder (In Windows XP it is "C:\Documents and Settings\All Users\DRM" by default), because IndivBox.key needs to be downloaded again. Please note that if you delete the DRM folder, you will lose all your licences.
It depends on what version of Windows Media Player you use, but not actually version of media player. It will detect runtime file in your system, if you have clean install of Windows XP and never updated/upgraded your Windows Media Player and never applied Media Player's hotfixes, it will download IndivBox.key to your DRM folder.
By default, clean install of Windows XP will install Windows Media Player 9, then when you attempt to play drm file for the first time, media player will ask you for a security upgrade.
After you have finished a security upgrade and IndivBox.key has been downloaded to your DRM folder, please check what version of IndivBox.key you have.
How to individualize your system for the first time?
Delete the DRM folder (Attention: All you licenses will be deleted). By Default in Windows XP the DRM folder resides in "C:\Documents and Settings\All Users\DRM", but it could be different in your case.