My memory is a little sketchy on this so bear with me...
I think what I did was enable the "share internet via Firewire" option under sharing. Maybe. Or if you just plug them together and enable firewire on both you can assign ip's to both and do it that way... although I know there's a way to have one assign via DHCP.
And I think you *can* share with an XP machine... I seem to recall a hint on the at MacOSXHints.com. Actually I think they also have an article about sharing between two macs... so you might take a peek there.
Edit: I became unlazy and found the links for you.