You probably want to set your include_path to include the PEAR directory. This can be done in php.ini, a local config file (e.g. .htaccess), or at the script level via set_include_path(), e.g.:
set_include_path('c:\program files\xampp\xampp\PEAR'.PATH_SEPARATOR.get_include_path());
include 'zend/auth.php';
This way any dependencies the auth class has on other PEAR classes should be picked up correctly.