To create a symlink in XP, I used software called NTFS Links (http://alax.info/blog/ntfslinks).

You just copy over everything except the data folder into a new folder ("World of Warcraft 2", in my case.) Drag and drop the data folder with the RIGHT mouse button and select "Create soft link here." There's a screenshot on that webpage that explains it pretty succinctly. Now when you patch your main WoW install the data files get updated on all your other installs automatically, you only have to copy over the root directory files (wow.exe, launcher.exe, etc.. there's 7 files and only ~10m.)