When you're on your own wireless network (wifi), you're given a private IP on YOUR network. This private IP is on the same network as your Windows box. Your router knows how to route traffic to/from your windows box/iphone.
Once you leave your wifi, and go onto 3G/Edge...you're now in a public space (no longer on your private network). Your iPhone is now given a public IP.
The only way to get into your private network at home, is to set up your router to port forward (whatever port RDP listens on) to your windows XP box. You then need to connect to your Windows XP box using the external IP address of your router.