[JeffO]

Apokalipse is right, his suggestion should work. The other suggestions have problems...

Windows XP mode won't allow most games to function at all. High-end games require more-thorough access to hardware. The encapsulated/layered relationship between a virtual machine and the host won't allow the level of access required.
Windows XP mode is mostly only for applications, not games - unless it's a low-power game like solitaire.

"Buttons" are features of Explorer, so there's no way to click on anything once Explorer is killed.
Typically, the script Apokalipse gave should work fine. For some reason though, sometimes a script won't stop and wait before continuing to the next line. In that case, "start /wait" before your game string. The batch script will remain in memory until the game terminates, and then Explorer should launch automatically.