Is there any particular reason why you don't want to use Dosbox? just curious.
Because on the UESP, the section for running it under XP is about 1/10 the size of the DOSbox page?
At any rate, I'll try DOSbox right now.
EDIT: Great, DOSbox installed and configured and now it won't run the game! I'm typing arena on the command line exactly like that but it calls it an illegal command. Is the ARENA folder supposed to be in the DOSbox folder? That's the impression the UESP is giving me.