i'm running mysql 4.0.12 on xp pro as a service, and have no trouble, however i don't stop and restart it often, just leave it running.
what i did to install:
MySQL Installing on Window XP Pro
mysql-4.0.12-win
ran SETUP.EXE
info: http://www.mysql.com/doc/en/NT_start.html
at DOS prompt
C:\mysql\bin>mysqld --install
Service successfully installed.
C:\mysql\bin>
went to Control Panel > Administrative Tools > Service
Dble click on MySql > Click "Start"
Back to DOS window...
C:\mysql\bin>mysql -u root mysql
Welcome to the MySQL monitor. Commands end with ; or \g.
Your MySQL connection id is 3 to server version: 4.0.12-max-debug
Type 'help;' or '\h' for help. Type '\c' to clear the buffer.
mysql> update user set password=password('********')
-> where user='root';
Query OK, 1 row affected (0.06 sec)
Rows matched: 2 Changed: 1 Warnings: 0
mysql> flush privileges;
Query OK, 0 rows affected (0.00 sec)
mysql>
best of luck.