Not specifically an XP problem.
UDF format is a format put on a CD when it is used a big floppy. When you install a program like InCD or Direct CD, the UDF reader is installed automatically. But if you want to read those CD's (or DVD, in your case) on another machine, the UDF reader has to be installed on that machine and every other machine you want to be able to read the CD's in UDF format.
If you look in the help section of the programs mentioned above, you will find this to be true, although not in as plain language. Poking around in the installation CD, should turn up a folder containing the UDF reader installation program or I think you can download it.
If you are trying to read a UDF DVD on the same machine that burned it and you can't, then you need to see if there is an upgraded version of the program.