Well, some games just won't work on some systems (like Grim Fandango). I don't know all that much about getting win95 games to run in XP, but one thing you should make sure of is that you have service pack one, at least, since the compatability mode didn't work properly before that (some would say it still doesn't work properly, but it's a lot better than it was).
Other than that, I don't know. A dualboot system would do the trick, but it's a lot of hassle just for playing a game IMO.
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