Right on the spot for shell32.dll, but it is actually Resource string
4178 (under node 262), shell32.dll:
original:
"Copy () of "

If you change it to
"_ "
then the output filename is "_ filename (3).txt"

If you change it to [nothing] (that is erase everything) - then the
output filename is "filename (3).txt"

I would best like a format like filename_03.txt, but it seems that the
digit format is elsewhere..

And one last comment for a n00b like me: of course you cannot change
shell32.dll in the windows\system32 while XP is running, as it is
protected; to change, first make a copy of it elsewhere, edit and save
that one, exit Windows, "boot to DOS" (in this case, since I need NTFS
access, I'd have to use XP Recovery Console
http://support.microsoft.com/default.aspx?scid=kb;en-us;216417), from
there copy the edited shell32.dll over the one in windows\system32,
and then boot back into Windows).

Hope this helps,
Cheers