i use xp pro aswell (used several versions of php) i always used isapi.dll, not the cgi version. Create a file wih the phpinfo(), check if you can see stuff. If not check your settings:
make sure that the php extensions are defined:
-> Run -> inetmgr
-> Right click "Default Web Site" (if not renamed)
-> Properties
-> Home directory
-> Configuration
-> check if there is .php or .php3 in the list.
If not:
-> Add
-> Extension: .php (.php3, .phtml whatever you want)
-> Executable: C:\PHP\sapi\php4isapi.dll
If this is set correctly:
-> Run -> inetmgr
-> Right click "Default Web Site" (if not renamed)
-> Properties
-> isapi Filers, check the status oh php (should be loaded and arrow should be green)
If not click on it and press Edit:
-> Filername: PHP
-> Executable: C:\PHP\sapi\php4isapi.dll (if C:\PHP is your php dit)
If you still have problems, you should play with php.ini
