The key words in that message...are the ones you omit from your post...something to the effect of..."if this is the first time that you have seen this error...".
XP periodically will reflect this message, I don't claim to know any more about what has transpired than XP tells me. I've usually not done anything different...no new hardware or software installed and I take the message for what it is. Since it doesn't happen consistently or routinely...I don't worry about it.
I could speculate about the cause but...I don't.
In your case, you can always do a search for any .dmp file which may have been created. This file may provide clues, it may not.
If you go that route, you can then try to follow the procedures reflected at Help Diagnosing BSODs And Crashes (BC) - http://www.bleepingcomputer.com/forums/t/176011/how-to-receive-help-diagnosing-blue-screens-and-windows-crashes/