Verify that there is a jk1.gob file in the Episode folder (for example, C:\Program Files\LucasArts\Jedi Knight\Episode), and that it is about 34 MB. The errors occur when there are no single player gobs in that folder. Maybe the file is read-only and JK needs other access attributes.
You could try manually installing JK
I have copied and used successfully JK player profiles from a Win98SE PC to a WinXP PC and vice-versa. Both PCs had the same JK files installed on them.
I will try to duplicate the problem on my XP PC (which runs JK just fine).
Note that running Windows XP without SP2 installed is a huge
security risk. It is pretty much guaranteed that without SP2 installed, your PC will be infected with all kinds of viruses within a few minutes after connecting to the Internet. Perhaps, a virus is making JK unplayable.