Microsoft wrote a Knowledge Base Article - 318689 http://support.microsoft.com/default.aspx?scid=kb;EN-US;318689 that discusses an issue with XP. Within the article are several examples, some of which are downright incorrect.

The first one:
:9x
%0\..\kix32.exe myscript.scr

is not wrong but I believe a more precise way would be to specify the path to the script as well:
:9x
%0\..\kix32.exe %0\..\myscript.scr

The second one:
:win_NT
call kix32.exe myscript.scr
goto end

:win_9X
%0\..\kix.exe %0\..\kix32.exe myscript.scr

is definitely wrong and should be:
:win_NT
kix32.exe myscript.scr
goto end

:win_9X
%0\..\kix32.exe %0\..\myscript.scr

I did report this to Ruud, and this was his reply:
quote
Thanks for the report. The second example is indeed broken, and I will
report this to the author of the article.

The syntax you propose for the 1st example is more efficient (it may
save 1 network roundtrip depending on where the script and KIX32.EXE are
actually stored). However, the original syntax will also function
correctly, as KiXtart automatically tries to locate scripts in the
NETLOGON and the start-directory.

Here is another slant on the XP issue.
Topic: Another %0 method

Additionally, I would like to point out that if launching WKiX32.exe from a LOGON.BAT file, that START /W be used to hold the BAT until the script completes.

:win_NT
START /W WKiX32.exe myscript.scr

Take a look also at Topic: LOGON.BAT (the overkill version) for more ideas.

Another issue that is worth at least a mention here is the "Windows XP Professional Fast Logon Optimization Feature". See the TechNet article http://support.microsoft.com/default.aspx?scid=KB;en-us;305293& and this thread Topic: XP's Failure to run Login script