For model converting, I'd recommend PCS or some other converter with a Windows GUI. I've also had more success converting TS1 models using the scene file rather then the cob file. And now it occurs to me that you might want to double check that the cob file is a cob 1.0 file. (Or whatever PCS and cob2pof can accept.)
As far as cob2pof, here's all the advice I can give. I can't say for sure if this will work on XP, but the first thing to do is keep cob2pof from quitting as soon as it's done. If you right click the cob2pof exe and chose properties you may have a window that has a Program tab. If you click that tab then somewhere on it (probably near the bottom) you should see a checkbox that states "Close on Exit." Uncheck that box and hit Ok and next time you run the program it's window should stay open till you hit the close box. A new file should also be created in the folder where cob2pof is which should be cob2pof.pif, though the extention will probably be hidden and it will probably look like a shortcut. A pif file is a Program Information File. They date back to Win3.1 and are used to store setting info for MSDOS programs being run within a Windows "DOS Box." (Or the XP equivilent.) Me still uses them, though it tries to hide the fact that they aren't normal shortcuts. If there is no Program tab, there might be one or more other tabs which will have that option. If not, then I'm not sure what you can do other then to try and get some kind of command prompt. And XP should have one, even if it's not called DOS or MSDOS. I have IIRC seen an XP computer that had a reboot in DOS mode option before though. (Since said computer isn't mine and is now running Win2k I can't double check that.)
FYI, every relatively modern OS should have a DOS, even if it's not called that. DOS actually means Disk Operating System. Without a DOS, a computer wouldn't know how to access files on a disk drive. And that includes CDs, DVDs, and hard disk drives. MSDOS is usually what people mean when they talk about DOS, DOS prompt, and DOS programs.
Addendum: In XP you can bring up a DOS box (aka command line aka command prompt) by bringing up the run box (Start|Run) and entering: cmd
You can then change directories to where cob2pof is and run the program on the cob file in the DOS box so you can see what it's saying.