Actually Dave, that process will only work for Win 95 and above. For MS-dos games, you go to the run dialog box, and execute the install file on your floppy disks just like you would have in the past. The Dos emulator will pop up and it will install to your chosen C: directory. Next, go to the directory and click on the executable or batch file. That will run the program and bring up the Dos emulator built into XP.
To make a shortcut, simply find the executable or batch and right drag it to your desktop and make a shortcut. It is that simple.
However, keep in mind that many of the really, really old games will have glitches or no sound. The way to fix this is to get a program called DosBox, which is a much better emulator for SOME games and a program called VDMsound which emulates old PC sound cards.
That is about the only way your going to do it in XP.