I am sticking with XP for as long as I can, I dislike W7, its just way too slow in comparison and I detest W8.
The only thing that will force me to move from XP is if I have to get a new motherboard and I cant get drivers for it, some are that way now sadly
You can do either with the mill wizards, you can even have them installed on 2 computers. So for example you could have the licensed version on your machines computer and the unlicensed on your desktop. You could then do the work on the desktop and save as a job file and transfer that to the machine computer and get the code from the job file. That would mean if you find you need to change something while at the machine you can.
I would advise against using any programme whilst your machine is running, especially if using the parallel port.
You need one of supported Windows versions for Mach3. You can however have Mach start up automatically when windows opens, I do that on my machines. Its as simple as dragging the shortcut for your profile to the startup folder in Windows.
Hood