Greetings!
If you want the XP machine connected to the internet and the Linux box on the same local network, then the answer would seem to be:
On the XP box, Properties for the dial-up network connection, select "Advanced" and check "allow other network users to connect ..." and "allow other network users to control ..."
This will extablish internet connection sharing on the XP box -- and will change its IP address on your network to 192.168.0.1. (You can change it back to whatever you want by changing the IP address on the NIC. -- We'll assume you don't do that.)
Make the internet connection as usual and make sure you can talk.
[I wouldn't activate the XP firewall, but would recommend ZoneAlarm Pro as the firewall of choice.]
On the Linux box, set your default gateway to 192.168.0.1. That may be done by entering the address into /etc/mygate; typing
route add gw 192.168.0.1
or by some other means (depending upon your distribution).
If you need more detailed help, feel free to ask.
Terry