I also got Win XP Pro and got no problem running AGI games..except those which use AGI Mouse (well can't see cursor).
I'm not implying anything, but if you got Win XP Pro version which ain't so legal

, trying another version might solve problem...Perhaps those crackers messed up with XP's dos-thingie. Luckily mine version works -- of course it's legal, students have afford to everything! - well.
And if nothing won't help, you can always do dual formatting(dunno what's the realname) to your computer..you know, putting both XP & Win 9x..or even good ol' dos.