Hello. It's possible to run it on XP by following these steps (full credit to Freddo and cef6 on the VOGONS website for providing this information).
NOTE: Do not leave your computer in the state described below for anything other than running "Space Hulk: Vengeance of the Blood Angels". You will have to re-enable the Direct X Directdraw acceleration after you've finished playing (this is explained below).
1. With the CD in the drive, click on My Computer and right click on the drive icon, then select "Explore". Open the "HULKDATA" folder and then the "BIN" folder.
2. Right click on HULKW95 and select "Create Shortcut", and then click "Yes" to place it on your desktop.
3. Right click on the newly created shortcut on your desktop, select "Properties", and in the "Start in" box delete just the "HULKDATA\BIN" entry, leaving your drive name only (e.g. "F:\", or whatever letter your CD-ROM drive has).
4. To disable the Directdraw acceleration: Open the Start menu, select "Run" and then type: "dxdiag" and click "OK". This will run the Direct X Diagnostic Tool. If you haven't run this before then you may see a dialog box about downloading something from Microsoft. What you select doesn't matter for these purposes.
5. Click on the "Display" tab and select the "Disable" button next to where it says Directdraw acceleration. Select "OK" on the box that appears.
7. In order to remind you to re-enable Directdraw acceleration after playing leave it running whilst playing the game.
8. Double click on the desktop shortcut to load the game.
Hope this helps.
Bye.