You could put the management console in one of the XP VMs and RDP into that VM from your Linux desktop, hence avoiding the web interface.

For ESXi you can boot it from a USB flashdrive and utilize local storage assuming it is a recognised disk controller. Check the forums for thread on whiteboxes for details on what people have gotten to work.

Yes, implementing VMWare ESX is expensive between software, servers and shard storage it ain't cheap. But been able to get that NT4 server that Finance refuses to migrate from off the dying hardware make sleeping at night easier.
I was involved in one such project at my last company, the costs from August 2007 are roughly this:
Dual quad core 32GB ram servers @ $11k * 4
ESX Enterprise * 4, plus VirtualCenter, SQL and S&S @ $25
Windows Datacenter license (license any VM for any Windows server OS, break even price point is ~13VMs per server) * 4 @ $20k
NetApp 3020 SAN SATA & FC @ $100k
Additional Cisco switches $14k
Roughly $200k.
Less the 8 months later we added another four servers, $44k.
When I left a few months ago we hand I think 120 Production VMs, with growth capacity for 60 more I'd guess while still allowing for a server or two to be off line.

So a rough cost per VM was about $1400. Yes, you can get a server for less then that, but if you need redundancy power supplies, disk etc the costs start mounting.

ESX can be done cheaper then the above project costing, but again it all depends on what the needs or perceived needs are going to be.