You're trying to use Internet Sharing from OS X to your WinXP PC? Sounds more like a OS X question than a Windows on a Mac question (it has nothing to do with running Windows on a mac!), but I digress.
How are the computers connected and how is your Mac connected to the internet? To share the connection go to System Preferences -> Sharing -> Internet and then turn on Internet Sharing, making sure you're sharing *from* the right connection *to* the right connection (ethernet port, Airport, etc.).
If you have the Firewall on, then you need to turn the "Personal Web Sharing" service on in the Services tab.
Once you do this, Windows should be able to go online without problems, as long as it's configured to connect to the internet through the right port.