The Modeler specifically needs the Microsoft .NET Framework version 3.5 SP1. It was never tested with (and probably won't work with) .NET 4.0.
For a download link, see this page.
We've used XP here extensively with the modeler and never experienced any problems. Here's a quick troubleshooting guide that might help you out:
(ps: it's easiest if you edit your original answer to reflect any additional information you acquire. That makes it easier for other people who find this thread to determine whether the answer provided here could help them. Thanks in advance :))
That was indeed the issue. Modeler works now. (although I had to uninstall all my installed previous .NET versions, and manually install all eleven .NET versions and patches for the 3.5sp1 .NET installation to work)
To give some more information: Mendix 18.104.22.168 does install and run correctly. However, Mendix 2.5.0 and 22.214.171.124 both crash if i try to run it after (a seemingly successful) installation. No error message, just a "sorry for the inconvenience" crash. I have the latest Java JDK and .net. (Java jdk1.6.0_21 and dot net framework version 4).
We also tried installing 126.96.36.199 on another machine (with the same java JDK and .NET versions). Same problem. Here it does give an error message in the crash: "Modeler.exe - .NET Framework Initialization Error: Unable to find a version of the runtime to run this application."