How to run older game in Windows XP?

The answer is by using the Program Compatibility Wizard

1.Start the wizard, and then click Next.

2.When you receive the following prompt, click one of the selections:
How do you want to locate the program that you would like to run with compatibility settings?"
A. I want to choose from a list of programs
B. I want to use the program in the CD-ROM drive
C. I want to locate the program manually

3.Click the program that you want to fix, and then click Next.

4.When you receive the following prompt, click one of the compatibility modes, and then click Next:

Choose the operating system that is recommended for this program, or that previously supported the program correctly:
Microsoft Windows 95
Microsoft Windows NT 4.0 (Service Pack 5)
Microsoft Windows 98 / Windows Me
Microsoft Windows 2000
Do not apply a compatibility mode

5.When you receive the following prompt, click the appropriate display settings, and then click Next:

Choose the settings that are recommended for this program, or that previously supported the program correctly:
256 colors
640 x 480 screen resolution
Disable visual themes

6.When you receive the "Did the program work correctly?" message, click one of the following options, and then click Next:

Yes, set this program to always use these compatibility settings
No, try different compatibility settings
No, I am finished trying compatibility settings

7.If you click No, I am finished trying compatibility settings, you receive the following message:

Program Compatibility Data
Microsoft has created temporary files that contain information about the settings you selected and whether the problems were fixed. Sending this information to Microsoft will help us improve program compatibility.

Would you like to send this information to Microsoft?
Yes
No

The information will be treated anonymously and confidentially per our data collection policy on the Web.

See the temporary files that would be sent

Note If compatibility problems prevent you from installing a program on Windows XP, run the Program Compatibility Wizard on the Setup file for the program. The file may be named Setup.exe or something similar, and may be located on the installation CD-ROM or floppy disk for the program.

From:
http://support.microsoft.com/default.aspx?scid=kb;en-us;Q301911