I use fedora 7 and 9 at home and open suse 10 for my work machines. I have had the same frustration with linux/software manufacs.
I have come up with a decent solution for me though. http://virtualbox.org
basically you install xp in a virtual machine running in linux. it runs about 90% to native and allows you to make a snapshot of the machine. every time it boots up, it boots from the same point in time. it works great and is fairly easy to get working.
lots of documentation on it as well...
free to use of course.