For Phurnace could contact the application servers, you need to install the binary of the application server on the Phurnace server (only install, don't need to start the server). Then the path you setup in Preferences -> BMC Application Release -> Application Servers for WebSphere 6.1 home is the path where you install websphere in your xp boxe.
On windows another way is to go in Help -> Search for updates and request the right Redistributable Client Libraries as shown on the screenshot:
Yes. I have copied binary files into XP machine and have done intiialy configuration setting path in preferences.
I do not have internet connectivity to that VM so can do the updates.
One more thing I have installed Phurnace on WebSphere Application Server and try to create server profile, getting the same error.
did you start the dmgr of you websphere cell? did you put the right SOAP Connector Port? Are you using credential to connect to websphere? Could you put a screenshot of you server profile setup?