Lets try the obvious first. From your first picture you need to select the PC/PPI cable and then click on install, the interface should then show in the installed side of the dialog. The second picture shows there is no useable interface available and so the install didn't work.
I am confused - some say 'nothing new there'. You say you are using XP SP3 but your screen shots look a lot like Vista. I have seen problems like this under Vista, to solve them you need to install and run MicroWin with administrator privileges. When installing, right click setup and run as administrator. When running, right click the MicroWin shortcut on the start menu and run as administrator.
I can't remember problems with XP but if I get time later I can try it on a virtual XP system that I have available.
MicroWin version 3 is not listed as compatible with XP or Vista but I have had it running on both.
Bryan