HP no longer supports or tests the emulator software or the connectivity kit on windows XP. There are some commands used in the communication code on the emulator/connkit that are not supported on anything lower then Vista. Those commands were necessary to add unfortunately to avoid problems with communication paths remaining open permanently in some cases until next reboot.
You can always try to run it on windows XP still, but be aware that you may have issues.
Although I work for the HP calculator group as a head developer of the HP Prime, the views and opinions I post here are my own.