1. Most XP applications will work without issue in XP Mode. The main exception being commercial games (virtual pcs just don't have the power to replicate a modern graphics card).
2. Yes to both parts of the question really. It is possible to start an XP Mode program from within Windows 7 (via a shortcut) but XP mode will still need to be running for it to work.
If you start the shortcut whilst XP Mode is closed there will be a delay whilst XP Mode starts up in the background and then runs the program you've selected.