make the same on XP Sp2:
Installing 1.6.5 Installer => okay
Installing 1.6.5-1.6.6 Upgrade Installer => okay
Perhaps you try to install the Upgrade-Intaller Version to a non-installer xampp 1.5.6. That cannot function, because for Installer Package works only with/for Installer Package(s). Otherwise, the Installer-Update cannot find the registry entry für the xampp main package (here Version 1.6.5) and abort (because no installer version to upgrading found) .
That could be the reason for your problem.