You're saying nothing about the CS & cswin32libs version you installed, nor if you used SVN to retrieve CS, or downloaded an archive (either SVN snapshot  or 1.2/stable).
That kind of information may help.
Also, could you copy/paste your commands and their result ?

Please make sure you follow the correct order of installation for the different components (MinGW/MSYS, cswin32libs, etc.).
In other words, double check you correctly followed the instuctions from the manual.

I don't think XP-Pro vs. XP-MediaCenter or XP-Whatever makes any difference, all should be equally supported by CS.

One advice: avoid Cygwin for CS if you can, MinGW+MSYS should be good enough, and is better tested & supported.
If you follow those instructions to the letter, you should be fine: http://www.crystalspace3d.org/docs/online/manual/MinGW.html

Just to clarify some points:
CS is a toolkit for programmers, so they can write 3D apps without having to start from scratch.
So, unless you want to stick to artist role, you have to learn some programming stuff, like, how to compile/build CS,
which is a pre-requisite to using it...

Building CS is explained in the manual: http://www.crystalspace3d.org/docs/online/manual/Platform-Instructions.html
You have to build CS even if you want to use it just with Python.

There's no official pre-compiled release of CS/CEL yet, because it's quite some work, to do it properly and for all platforms CS runs on.

Now, the "artist packages", like the one you found (and which is a bit outdated), allow people loading their art stuff in CS, without having to
build it beforehand. But it can't be used to build/compile a CS-based application.

I hope that clear things a bit

This page should help at getting started with CS+Java: http://www.crystalspace3d.org/docs/online/manual/Java-Bindings.html
(use just "jam" instead of "jam install", though)

The SimpleRoom.java example is in CS/scripts/java/.

I'd recommend not focusing on Blender/Blender2Crystal to begin with,
but first learn the basics of CS by checking the tutorials in the manual (yes, even if they're in C++ ),
then look at the python examples in CS/scripts/python/. Those are straightforward conversions of classical CS C++ code to Python.
Then you could look more closely at CEL, as see what it can do for you (ie. understand how much code it can save you from writing yourself).
Finally, you could see how Blender2Crystal can be used to leverage CS & CEL, but for a game like that, it may be faster to code stuff directly,
since there are no predefined quests or templates from games like that.
Or maybe you could jump directly at writing those quests and templates, and use them directly from Blender & Blender2Crystal.
Not sure
Come in IRC #crystalspace @chat.freenode.net one of these days, and either nag caedes about that,
and eventually garou too, who made a "Go" game using celstart some time ago...

[iGraphics2D::SetFullscreen()]

Can you say me where are this functions? 

Hello,

  those would be the ones accessible through iGraphics2D interface,
namely: iGraphics2D::SetFullscreen() and iGraphics2D::ResizeCanvas().
It could be that you need to restart the application for those change to be really effective.
  In that case, you'll want to update/set one or more of these configuration key-value pairs in your application configuration file:
Video.ScreenWidth = 800
Video.ScreenHeight = 600
Video.FullScreen = no
Easy application restart is a feature of csApplicationFramework; to change config files, you can/should use csConfigAccess, problably like it's used in CS/apps/tutorial/simpvs/simpvs.cpp

Sure, having realistic would be really cool
I don't remember anyone ever trying that in CS.

seeing "/opt/crystalspace", I guess you "installed" CS, instead of using it from its build directory.
I think that's the problem.
Can you try setting CRYSTAL to the build directory, and see if it goes better ?

[ceguitest]

Hello,

  the most straightforward way to have a GUI in a CS would be to use the CeGUI plugin.
Here's the manual section about it: http://www.crystalspace3d.org/docs/online/manual/CEGUI.html
You can also check ceguitest application for a code example.

[Démarrer->Executer...]

Salut

  actually, blender2crystal is working fine, it does the export job.
What is strange is the "E:\\Mes Documents" part in the call for celstart.
Maybe you didn't set CRYSTAL and/or CEL environment variables; what are their values ?
(ie. click Démarrer->Executer... then type cmd then type echo %CRYSTAL% and echo %CEL% and paste the result here)

Ok, found out the problem, you need to have lighter2 turned off, or have a hacked version of lighter2 since it has a bug in it that prevents it from exporting properly.

It would be nice to properly report the issue on CS Trac so that it gets solved...

Most likely, you're missing some dependencies.
Missing VFS is generally due to not having zlib development package/headers installed. Missing gl3d would be due to missing OpenGL development/headers, etc.
Please carefully check configure's output, install missing dependencies, then re-run configure and re-run jam.

The current animation systems are:

• gmeshanim: used to animate genmeshes, supported by blender2crystal
• sprcal3d: uses Cal3D library, needs a specifc exporter (not directly supported by blender2crystal)

Then there are experimental systems, in specific SVN branches:

• newanim: developped for Apricot, has a wiki page
• skeleton: the one discussed in previously linked mailing list post.

Unless you want to be a tester, don't use experimental branches.

Does just "jam" report failing targets too ?
Anyway, unless you really have to and know what you're doing, don't bother with install and use CS from it's build directory.
Will make your life much more simple...