You must realize that the Family gathering program was updated to Ultimate Family Tree and even UFT is now "out of service" as far as support and any future updates. However, if you want to continue with Family Gathering, you might find some help on the "warning" you are getting from this site: http://rug1.tripod.com/XP_UFT.htmhttp://rug1.tripod.com/XP_UFT.htm
You might also try customize your property settings in the windows XP taskbar to change the look of the operating system to the normal windows and it may help you. At least I understand that this has helped others.
You might also want to consider purchasing TMG and transferring all of your data directly to it (no gedcom needed), as it it an updated program. See: http://whollygenes.com/http://whollygenes.com/