Just ran dependencywalker on the installer. The only error I receive, on an XP SP3 machine w/ all updates before October installed, is the INETCOMM.DLL. I believe this is normal behavior and the installer worked without issue on my XP VM.
After successful installation, what I am seeing is all of the DLLs and EXEs are reporting that the INETCOMM.DLL is missing. Everything seems to be working as expected, however.
The JRWEB.EXE reports that libcef.dll is missing, along with INETCOMM.DLL, but web "browsing" from MC seems fine. This is the only error out of the ordinary.
So I guess I'm with Matt - run all of the available Windows Updates and verify they are installed before trying again.
Next step is to pull our XP image onto a physical machine if you think it warrants it. It is what I'm running in VM exactly, so I don't think it'll make much difference, but am willing to try it out.