Are you trying the WinXP tunnel via the same network as the other clients? Depending on the NAT configuration the connection is sometimes established in a different way.
I assume you've double checked the configuration on WinXP to make sure you didn't miss a step.
If you're using the Dynamic DNS name of your MX84, check to see if it resolves to the correct IP address on the WinXP.
Does anything show up in the event log for that client:
If not, then I'd take a packet capture on the MX when the WinXP machine is trying to establish it's connection to see if the messages come in and when it breaks. If they don't, make sure you've forwarded UDP 500 and 4500 to the MX on your firewall/router(s) sitting between the internet and the MX if there are any.
