You didn't say what the problem was running "Killing Moon" (audio? video? error messages? blank screen?). Audio could probably be handled by VDMSound, Video may be a bigger problem.
For the other two, did you set up compatibility mode on the windows installer before running it? Some of the Win9x installers out there are going to specifically check for a Win9x OS and choke if it's not there. Also, did you try both Win95 and Win98?
The best thing for me has been the dual-boot setp with Win98 and XP. You can have a Win9x boot partition (FAT32) and let XP handle the rest of your hard drive. I've left my other partitions in FAT32 so I can still access them after upgrading to XP (I made my XP boot/windows partition NTFS so none of my older windows progams will get confused by two Windows systems) Some of these older programs get really confused by large partitions and the NTFS format, so keep that in mind.
Installing 98 with XP already installed is a little more complicated. But if you a non-destructible partition tool, you could change your XP boot partition to another letter (Win9x will want C: ) and squeeze in some space for it.
In case you hadn't guessed already, I'd advise against removing XP. The only reason I swap to Win98 is compatiblity for some older games, and that's simply not enough to dump the whole OS.