Try updating the drivers for the ATI card (which is now an AMD card as they bought ATI)
You can download the drivers here.
And make sure you have all the latest XP updates, and get the latest Microsoft .NET Framework
(which is required now for ATI drivers, so install that first)
Could also try updating the chipset drivers for your motherboard, and download the lastest Microsoft Direct-X version (here)
If that dont work then i've no idea... that P4's quite slow these days, but your system is fast enough to not have any lag with the transparent windows...