I run XP and have no issues with A&A at all. I would suggest a couple of things:
1. Make sure you cdrom drive you play the game from is on DMA mode and not PIO mode.
2. Upgrade to the latest Direct X package.
3. Make sure you are using the most current drivers for your video card.
Those are all standard answers I know but you just can’t be too sure. Does this do this in any other games or programs or just A&A?