Believe it or not, I've had it out w/ Microsoft over this issue:
SIDEWINDER PROFILER SOFTWARE THAT WORKS WITH WINDOWS XP/2000 IS NOT AVAILABLE FOR THE GAMEPORT SIDEWINDERS, AND NEVER WILL BE.
Sorry for the caps, but it pisses me off everytime I think about it. That said, your options are:
set the controller up as a standard controller in XP, and configure the controls in the MAME tab menu (make sure joystick support is enabled)
buy a new gamepad (USB Sidewinder Pros ship with a Profiler version that is not even available via download from SW Central). This version, while not certified with XP, works fine with it.
MS's response is that the gameport sidewinders are no longer supported. However, for some reason, they won't even put the Profiler version up for download that works w/ the USB versions in 2000/XP. If you happened to buy an earlier USB version (which didn't ship with the newest software), you're still screwed. Funny how the only option is to buy a new game controller.