XP is a completely different operating system.
Windows ME is based on DOS. You may not see it, but there is a very stripped-down version of MS-DOS (sometimes referred to as DOS 8) that sits under Windows ME. And Windows ME does have a DOS-mode, though MS made it so you can't access it directly - unless you use some unofficial procedure like this one http://www.geocities.com/mfd4life_2000/
Windows XP is NT-based - a completely different operation system from the ground up.
The only DOS you'll find on Win XP is emulated DOS. And the only way you'll run DOS-based game on XP is with an emulator of some sort - either the one that comes built-in with Win XP or with something like DOSBox.