*There is no Direct X 10 for XP, so you can not play DX10 games in windows.
*Games for windows does not mean Direct X 10, it only means the games have passed certain qualifications to get Microsofts "Badge of Approval", and are potentially eligible to be a part of Microsofts Live Anywhere system.
*Many of the games coming out that will support DX10 will also support DX9, at least for the near future. Supreme Commander, Company of Heroes, and Crysis are all good examples.
*DX10 IS backwards compatible, although you may have some trouble. As far as I know, Steam (and all the games within it) run just fine under Vista.
The only thing you have to worry about it having a DX10 capable graphics card, and once you get that, pray that stable Vista drivers for said card are released reasonably soon.