This week's book giveaway is in the OCAJP 8 forum. We're giving away four copies of OCA Java SE 8 Programmer I Study Guide and have Edward Finegan & Robert Liguori on-line! See this thread for details.
I'm pretty sure you can use AUTOEXEC.BAT in WinXP the same as in previous versions of Windows and DOS. However, if you are asking about setting system variables like PATH and CLASSPATH, there is a setting under the Systems applet in the Control Panel. For an example of setting an environment variable, look at step 5 in Sun's Java Installation Notes. This describes how to set the PATH, but the same ideas should apply to setting any environment variable.