You may try to bundle renamed copies of all direct dependencies along with Explorer.exe, no clue if/how it would work though.
Right now Dependency Walker shows 18 .DLL files called by my current Explorer, 5 of those using delayed loading.
There are some pretty critical ones in the list though, like Kernel32.DLL and NTDLL.DLL ...
So, copy all those + Explorer.exe to a new folder. Rename all of them to avoid future clashing with the newer libs of the target system. You could i.e. change the first letter.
Then use a tool like PPEE and change the imports of each file to the new names.
Move the bundle to the target system and test what happens.
You may find out that additional files are needed. Copy + rename + fix imports of the additional files, then test again. Repeat as much as needed.
If you keep at it, you may end up with a huge pile of files in the final bundle. And it may still refuse to work, hehe.
If you succeed in making it start, open some other file manager, kill all instances of both XP and newer Windows Explorers, then start only the XP Explorer. If you are lucky, you could be greeted with the XP Desktop and Taskbar.
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Now, if you get tired of trying to make the original XP Explorer.exe work on lets say Win10/11... You can try to simulate its look and feel by other means.
But first, we have to separate the main sides of the XP shell, as each will probably need a dedicated solution...
Windows (File) Explorer - there are many replacements, some simple, some with tons of extras. Few examples - Explorer++, ExplorerASM (Win9x look), XYplorer (paid).
Desktop/Taskbar/Start menu - Object Desktop (paid) seems to be a complete bundle; ClassicShell/OpenShell with Luna skin (guide); skinpacks.com seems to have a few XP skins and helper tools (just found it, no clue how safe it is); also check this guide.
what else?
HTH