I have not used the XW4600 with BM, but as I remember slots 2 and 4 should work. (2 for grafix 4 for BM) Other thoughts would be latest chipset driver for X38 chipset. This chipset does have problems with dual Nvidia SLI configs, but I don't think it should affect your config.
Also you might completely re-init BIOS with defaults, and both cards installed.
If your comfortable with driver installs etc., HP tech support might help with latest Vista drivers (though I wouldn't count on it). Also latest drivers for the XW and BM. I am sure you probably have done some of this, so just adding food for thought.