MySQL Cluster

We are using Mysql 4.11. Is it possible to make a MySQL Cluster in Windows XP machine. If yes then how?

It is not possible to install MySQL 4.11 as a cluster on a Windows XP machine. It is supported from version 5 but I would higly advise you not to install this cluster on a Windows XP machine as a production environment.
Windows XP is not meant to be used as a server and also will not work as good as in this area as WIndows Server 2003.

Next to the fact that Windows XP is not a server os you need specific hardware for a cluster. Maybe you should also read the FAQ from MySQL about clusters: http://dev.mysql.com/doc/refman/5.0/fr/mysql-cluster-faq.html

I advise you to read the following article:
http://www.onlamp.com/pub/a/onlamp/2006/04/20/advanced-mysql-replication.htm