Must look into this Virtual PC thing - especially if you can run it on a Mac, I could use it at work (we bought the last of the Mac chipped G5's, before they went over to Intel - otherwise I would use Boot Camp).
I have a copy of Corsairs Gold, I used to play it quite a lot on my '98 machine, but also could not get it to run on XP. Or to be more accurate it would start in 98 Compatibility mode, get as far as name entry and the like but crash as soon as you tried to enter the actual game.
It was fun, and unusually it included the western coast of Africa amongst other locations. Having a personalised avatar that you had to keep alive gave it a good sense of immersion. My only criticism would be that it ran way too fast - the battles were a complete click-fest. Eventually you would give up because you just could not keep up with everything that was going one. Oh, and because all the ships moved at different speeds, keeping a fleet together was very difficult.
Captain Terror is correct about the Anno games - they are probably nearest to what you are after. After that I would suggest the now very old Cutthroats, if, as mentioned previously, you can find it and the necessary Patch 7. I still go back to that game occasionally (it runs OK in XP so long as you reduce the colour depth on your system before playing) and waxed lyrical on the subject in a previous post.
For in depth strategy (i mean REALLY in depth) then Europa Universalis 3 is a good bet, but If you want a real oddity then I wonder if anyone here remembers that other Microids title "War and Peace". It was highly unusual in that instead of giving you a world map and instanced locations (the Medieval games, Cossacks, Imperial Glory etc...), a squeezed up generic version of the entire world was used - meaning you moved and fought your armies and ships entirely in real time. It had all sorts of problems but carried a fascination for me because you never lost your sense of immersion (I think this is why I liked Cutthroats too). Sadly though, whilst the ship units were OK, the army ones were too small and generic, meaning battles were difficult to control.
Just my two pennorth.