I've managed to get Redguard out of the bargain bin and I'm wondering if it's compatible with Windows XP.

You can get it to run in XP if you get a Glide wrapper, VDM Sound and so on, but it won't run right out of the box. It's a DOS game designed to run under Windows 9x and want to do some things that XP doesn't really allow.

They really should have made a DirectX patch for the game and given it a proper win32 executable.