Stepper motors do run hot, it is not uncommon for them to be 120 deg F and most are rated to 180 deg F. The spindle motor will also get warm, but not to hot to touch. The spindle itself will get warm as well. The faster you are turning the spindle the warmer it will get. Once the bearings in the spindle get broken in it will run a bit cooler.
BTW, using XP or Vista makes no difference. The driver box has no idea about the operating system.