I believe that has to do with the fact that for your graphics card the correction curves are stored in a LUT (Look Up Table), and only one LUT is supported on a single video card and used for BOTH screens, i.e. the second screen will look off. There’s much more to it, though, since it is entirely unclear which video cards support two LUTs or not - most do not. And WindowsXP does not support multiple LUTs afaik. I do know there is a lot of confusion on the matter.
One solution is to get a separate video card for your second screen. That fixes the LUT problem, and lets you control colour on both screens separately.
The solution I use is the Spyder 3 Elite - it supports colour calibration of a dual screen setup. Though it circumvents LUT’s (as far as I know) and uses its own software to load the correct calibration curves (as demonstrated when booting into the desktop and the colours of both screens change when the Spyder software is loaded). The colours are calibrated for both screens though, and white looks white, and so on.
Of course, it could be your hardware - a couple of years ago I tried to colour calibrate this one CRT (LaCIE ElectronBlue22), and no matter what I tried, it would not cooperate - no wonder, because the damn screen was so old and decrepit, its hardware was half-broken!