My experience of Windows XP is that it really does stand for eXtra Problems! I have couple of places that I maintain DOS software for which run XP, and I've had no end of problems interfacing to simple DOS applications. Heck, XP doesn't even have a direct "MS-DOS prompt" option any more; you have to select "Run" and then enter "COMMAND.COM" yourself.
As for those WinModems, I agree with the comments above. Horrible. I'd rather use my old Hayes SmartModem 2400 that I still have stashed away in a cupboard.