Severe lag in the game.

Actually, there wasn't a Complete Collection for the fourth game. But it would be interesting to know how to solve the problem on XP so that it doesn't stretch the screen to the full width of the monitor...

There was. Please provide the game build and which expansions you have! For example, "Alexander" puts much less load on the processor.
On XP, you can check the box for "Use software rendering," and then the game will use a "16:9" resolution, but the image quality will suffer.