Most probably your HPUX host can not configure its ip address properly. This sounds like what your problem is.
First of all, since you said you did not have a light on the network card of your hp server. Make sure you are using the right cable. By right cable I mean, you are using a regular network cable NOT A CROSSOVER cable. Make sure you are connecting it to one of the lan ports not to the WAN port, which should only be connected to the DSL/CABLE MODEM.
Secondly, forget about DHCP if these two are the only systems on this router and give them static ip addresses. I think D-Link has a LAN IP address of 192.168.0.1, so give the IP Address of 192.168.0.10 to your HP server and 192.168.0.20 to your windowsXP machine. I am assuming you are familiar enough with HP UX to change IP addresses permanently. Make sure on HP Server, the default route is set to 192.168.0.1, and on XP machine, the default gateway is set to the same value.
Reboot your HP server and observe that you have a link light on both the network card on the server and on the router port it is connected to. If not, you may either have a bad card or bad router port.
If all worked correctly, you should be able to access from both machines to the internet and to each other.
Since it has been many many years I last used the exceed software, I am not sure if the terminology is right, but on the main control panel of exceed, you need to set an XDMCP host, and specify the IP address of your HP server as the host. Since you are not running a local DNS server, referring to your local machines by IP addresses is your only solution. Do not use server names.
Hope this helps.
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UNIX because I majored in cryptology...