The hosts file is a text file. It does not have the .txt extension.
So, if you're using wordpad, notepad, etc you have to select "all files" in the open dialogue to see it.
I was able to open it with wordpad.
On XP Pro, you probably need to have admin privs in order to do it, I would imagine.
If you're running spybot (and maybe adware), spybot does have an option in the tools menu (I believe) to add a bunch of these ad sites to your hosts file. It may also block changes to it for all I know. It does have a registry change blocker (teatimer or something like that). If you're using spybot to do it, you probably don't need to do it manually.
If all else fails, I put a copy of it here:
http://www.flex.com/~dmk/HOSTS
Save the old HOSTS file (HOSTS.orig) and copy this one over and put in the windows/system32/drivers/etc directory as the name HOSTS.
-David