Windows have to be updated to handle WPA whether you use Windows Zero Configuration (WZC) or you disable it.
Both WinXPSP1 and WinXP SP2 take care of this update.
As far as using WCZ here is my take.
Microsoft provides it as an added service to Windows Network system. However they can not force the manufactures of the Wireless Hardware to conform to this add-on.
Some manufacturer do not care whether it is conforming to WCZ, some might deliberately make it not conforming (this is especially so with the Entry Level Wireless Brands).
I would suggest to use first the manufacturer drivers, and utility. If it does not work with the manufacturer driver and utility take it with the Brand's Support Tech.
Once it is working with the above, and you want to try for easier configuration you might try WZC, YMMV.
Most Recent Wireless Hardware have a better chance with WZC than any of the past units.
If you wonder, why then the whole WZ thingie is necessary?
Well, I bought recently 22 wirelesses PCMCIA (BuffaloTech) for my company. Before actually buying them I made sure that they do work correctly with WZC. Its sure make life easy that every one can use the cards in his Laptop with no need to deal with additional software.
:sun: