Comp prob. URLMON.DLL was not found-How to fix that?

For months now my comp brings up a message on many things saying "This application has failed to start because URLMON.DLL wasn't found, reinstalling this application may help" it just does it to random things an they wont open and I tried re installing something and my comp wont let me re download it now. In fact it wont let let me download anything at all even pics from email ect. It also wont show anything that has to have Flash at all, it just shows the webpage as blank. I had read somewhere to go to Run and type sfc /scannow....it eventually prompts me to re insert my XP disc so it can do something, does that work? Im afraid to complete it thinking its going to wipe everything out on my comp.....How can I fix this problem?