Neither ZipSlack nor Slacklive will do what you want, since each of these requires a reboot.
David is right. CygWin is sort of like the anti-Wine, it allows you to pretend you're running linux within windows. But the best solution IMHO is vmware (if you don't mind paying an arm and a leg for it; or pursuing other, less ethical means of installing it). This will create a virtual machine while you are running XP (ick!) on which you can run a true Linux distro.
http://www.cygwin.com/
http://www.vmware.com/
Enjoy!
--- Cerbere