XP's online help has a pretty good description of how to
get Remote Desktop running.
Just open Help, type "Remote Desktop" into the search box,
and click the "start searching" icon.
One thing that isn't addressed in the online help is the
use of a firewall. If you're using Internet Connection
Firewall, third-party firewall software (BlackIce,
ZoneAlarm, etc.), or a router of some kind, you'll need
to open the Remote Desktop port.
That should get you started. If you run into problems, let
us know.