Marty List brings us WFPQuery, which allows you to query the list of files protected by Windows 2000/XP. You can export the entire list of protected files, or specify the files to query based on patterns/wildcards.

The readme contains:

Windows File Protection Query \[Version 1.00\]                              Queries the Windows protected file list.                              The syntax of this command is:                              WFPQuery.exe /list|filename \[filename2 filename3 ...\]                               /list|/l       Displays the complete list of system protected files,                                              All other parameters are ignored.                               If /l is not specified, one or more files can be queried individually.                               Separate multiple files with spaces; enclose paths containing spaces in quotes.                               An argument of /? or -? displays this syntax and returns 1.                               A successful completion will return 0.                              Copyright 1999-2000  Marty List                              ==================================================================                              System Requirements: Windows XP; Windows 2000                              Revision History:                              1.00 	12/12/2000                              Initial release.