I'm sure I saw a few posts where people had struggled with using JTAG with Eclipse on WinXP. Well today I sat down and got this working so that I can program the Maple bootloader over a JTAG (the Olimex ARM-TINY-USB-H) - I've summarised what I did in a blog post: http://iainism-blogism.blogspot.co.uk/2012/04/booting-up.html
The main gotchas I found were:
1) Setting up the Yagarto exe in the debug settings (browsing to it and selecting means that Eclipse always seems to find it)
2) Making sure that the correct binary name was used where required
If you see any mistakes or anything that needs clarification in the blog then please let me know!