Many computer programs or games do not correctly work when clicking on the .exe file in XP. These programs use DOS calls which isn't sometimes compatible with XP. It's may be due to graphic hardware considerations!
So windows XP doesn't allow these programs to work, these DOS based must be run on older operating systems.
So in fact there is a way using the Windows XP's Compatibility Mode.
Just Open Windows Explorer and look where the program is located and follow the steps below:
Right click on the program file (the .EXE or .COM file).
Select Properties from the menu that pops up.
Select the Compatibility Tab in the dialog.
Change the options so the program opens in Windows 95 or 98 compatibility mode. Note the other options in the dialog as you may have to experiment a bit and change some of them as well.
These actions normally creates a PIF file which Windows to define the options to be used so that the program in compatibility mode be run.