This is a stunningly common question since VS2010 got released. Sounds to me that lots of folks didn't trust it, drug an old and forgotten XP machine out of the rubble pile, installed VS2010 on it and then flipped the "expect magic" switch when they ran pre-.NET 4.0 apps.
No, those apps require a app.exe.config file with a <supportedRuntime> element to convince them that you have verified that they will work properly on the new CLR version. Could be useful, you can send a message to the app vendor that you've verified that the app works well. They'll appreciate that.
If you don't care much for being the unpaid tester then simply install .NET 3.5 SP1 on that machine.
Btw: it will really stink perf wise, you haven't defragged the disk on that machine forever.