I haven't tried running the server on Windows yet, but what you probably need to do is set an environment variable.
Can't give you a click-by-click for XP, but it's probably similar to 7 -- On Windows 7 right click on "Computer" on the start menu, click "Advanced System Settings" in the list on the left, go to the "Advanced" tab, and click "Environment Variables" at the bottom. Add a new one called MV_HOME and set it to the path where you have your server package, such as C:\Users\yourname\Desktop\multiverse. Don't point to the bin directory, point to the directory one level above it.
On Linux it automatically sets that MV_HOME based on where you're running the start script from. I guess it must not do that on Windows... I really do need to run through the server setup on Windows to see where the stumbling points are.