If you have managed to install Grim Fandango on Windows XP, but you encounter the following symptoms:
1. Game freezes at random when making progress in the game, both video and audio.
2. Game goes silent when coming out of the main menu (F1).
You should follow the procedure mentioned in this thread
. This problem is referred to as "hyper threading." Following the instructions in that thread helped me out, so hopefully it will do the same for you.