Hi!
I also had some problems running Phantasmagoria I and II on XP. See the following links for more information.
Phantasmagoria I:
http://vogons.zetafleet.com/viewtopic.php?t=13398&sid=05e3c8be3e60ae00d22b1ab3c5854929
Phantasmagoria II:
http://home.earthlink.net/~angeldancer27/XpGameListP_T.htm
Good luck!
PS: Both solutions worked for me 