To connect to a network with Windows XP, you should use the Network Setup Wizard found on your control panel. It should have an icon of a house with the network symbol underneath it. If you're in Category View, it will be under "Network and Internet Connections". Follow the instructions in the wizard, and ask here if you encounter any problems. If you have a firewall other than the Windows XP SP2 firewall (automatically configured by the wizard), you'll have to configure it seperately to allow network connections.

All computers have to go through this ritual to connect to a network, otherwise they will be invisible to the other computers.

edit: If you don't do this, you can still connect to others over the network, but others can't connect to you. If you want to connect to a computer over the network, this has to be done on that computer.