Ahhh yesh, WinXP - what could have been the best OS...
Anyway, if you have an old CRT display, find what it can drive at, and what your video card can drive at, and set that as the desktop display setting. Then go into SH4 and at the main menu, Options, Graphic Settings, and find the drop-down in the upper-left for your display resolution in the game. Set that to match what your Windows display is. The same holds for an LCD display, other than it has a "native" resolution, which Windows refers to as "recommended" in its dialog for the newer OSes (and I'm not certain what XP shows). Find the "native" resolution, set Windows to it, and set the game to it.
btw, you do not want / need the Acrobat or UPlay that is on the install disk on your computer. UPlay is broke, and Acrobat has much newer / safer version to download. But you do need the DirectX v9.0c and the Windows Media Codec installed.