If your Money 2005 is a US version, then Money US Sunset should be able to read your current .mny file. You can download it from the second "sticky" post in this forum:
https://social.microsoft.com/Forums/en-US/479281b2-90f9-42ca-85f7-644fc6e1e5c3/download-microsoft-money-installation-files-solve-activation-and-some-other-errors?forum=money
Save a backup of your current Money 2005 .mny file and then open your current .mny file with Sunset. If that solves your problem, all is well. If not, you can revert to Money 2005 and the backup .mny file that you saved. Note that Money
Sunset will convert your file to a newer format and Money 2005 will not open files in a newer format.
If that does not help, provide more detail on what is happening. When you say "it locks up" do you mean that Money becomes unresponsive? Of does XP crash?
When you "go back in" (reopen Money?) are the downloaded transactions present? Or are you now able to import them? Are you importing by double-clicking on the downloaded ofx file? Did you try just downloading the file and then
importing it in Money with File>Import>Downloaded Statement and navigating to the downloaded file?
Bill Becker