I use Windows XP Pro on two of my servers that run EQEMu. At one point, I was running with the firewall turned off. Eventually, I turned the firewall on and still got it to work. Now, I run behind a router and it still works. This can and does run under XP, it's just a matter of jumping through the hoops.
World.exe pops up and disappears because it is a console application. That is the way they behave by default when they exit - and yours is exiting prematurely due to some problem. If you would like to see the output that explains the problem, open up a DOS prompt (run->cmd) and type in the following:
Code:
c:
cd \MyEQEMuDirectory
world.exe
Replace with your directory/drive, as appropriate.