first of all ultrahle does not support winodws xp and second of all you should get a better video card, like a geforce 2 at least, i mean the dell dimension should of came with an nividia geforce 3 64mb, i mean c'mon. you can try suprahle. go to www.emulation64.com look for supraHLE and try that and see if it works.
check this thread to see the problems I had and posted for SupraHLE on the SupraHLE topic. I'm having the same exact problems with UltraHLE only the game selection window stays open and doesn't exit itself at the end.