To answer your question, yes, Netscape 4 will install on Windows XP without any major problems.
There's a second method to exporting from Thunderbird to Outlook that you may be interested in. Having performed both, I can say that the second way is much easier, and doesn't involve Netscape 4 at all, instead using Outlook Express (built into Windows XP) and a freeware utility called IMAPsize. The directions are over here
.
UserAgent: Mozilla/5.0 (Windows; U; Windows NT 6.0; en-US; rv:1.9.1b3pre) Gecko/20081226 Shiretoko/3.1b3pre (.NET CLR 3.5.30729)
Laptop: Turion 64 X2 @ 2GHz, 2GB DDR2-667, 100GB HD, ATI Radeon X300, 15" LCD, Seven Professional RTM