Jamie,
I too have upgraded to Windows XP but have kept Windows 98 SE on a separate partition of my hard disk, so I can run all the programs that Windows XP doesn't recognize (like Cubasis or some of the Norton Utilities).
Re. the program change issue, on every sequencer there is the possibility to insert an event like a program change at whatever point of a midi track; you should refer to the Bank and Program map of the specific synth you are using.
Take care