Yep they work in XP too. (In XP the delay is already zero by default so you don't have to set it, but it doesn't hurt anything if you set it.)

By the way the operating system has a third setting in this family of features that determines whether the window comes to the foreground or merely receives focus without coming to the foreground. I've never bothered implementing this in HotkeyNet but it could be added easily if anyone wants it.