As I read it, XP will still continue to be good for 1 release after 2011....so if there is a 2012, that'll be the last for XP. IT here pointed that out when they were talking about upgrades and expects not to have to do anything with our workstations until 2013.
To the original question:
Upgrading to 2011 will be the easiest way to use the parts, especially if you need the features as they were originally drawn. Will cut out the middle step of having to have someone convert them before you get them into your possession.
If all you are looking for is the object and don't care how it was drawn, then having whomever gave you the 2011 parts save to parasolids, iges, step, or whatever your preffered filetype is would be just as sufficient.