Audacity doesn’t support VST instruments either. You may be able to put a piano VST instrument in a real-time VST host like VSTHost or Minihost from Tobybear Productions then set Audacity to record the audio output of the host.
Please be careful with Windows XP. Microsoft are no longer officially supporting it, so it will be unpatched against any new security vulnerabilities that appear.
Make sure you have XP Service Pack 3. You can still download Service Pack 3 from Microsoft if necessary: Windows XP support has ended - Microsoft Support .
Ensure you have a good third-party anti-virus application. Be aware though that this will not give you complete protection against a previously unknown attack.
For some extra protection you can install http://technet.microsoft.com/en-us/security/jj653751 .
If it is not practicable for you to update to the much more secure Windows 7 or Windows 8, you can consider installing a Linux operating system instead. Most versions are free and all are very secure.
Also the latest Audacity version is 2.0.6 from Audacity ® | Download for Windows.
Gale