Yup, there is, it's called SQL Server and costs a f*$king packet. You can get MySQL to work with XP - you need to run it as a service. But I'm out of my depth with XP - check the Install forum because there are hundreds of threads on this very topic there. You'll get it to work, don't worry.
Best o luck
Norm
PS: Oh yeah, you can also use MS Access and connect to it with PHP using ODBC, to the best of my knowledge. You may have MS Access already.