USB Tethering with Windows XP
Windows XP contains the drivers you need to take advantage of USB tethering, but you must install a configuration file before connecting your phone to your Windows XP computer, to instruct Windows XP how to configure itself to use those drivers.
Download the following configuration file (tetherxp.inf) to your Windows XP computer. Typically, you can right click on the link and choose “Save As”. (If your browser appends .html to the file name, you will need to edit the name to remove the .html extension.)
Use the USB cable that came with your phone to connect your phone to your computer.
On the Android phone, press Home, press Menu, and touch Settings to open the Settings application.
Touch Wireless & networks > Tethering & portable hotspot.
Check USB tethering.
When Windows XP’s New Hardware Wizard opens, select No, not at this time and click Next.
Select Install from a list or specific location and click Next.
Click Browse to browse to the directory where you installed the configuration file you downloaded in Step 1 and click Next. Windows XP uses the configuration file to configure itself to support USB tethering with the Android phone.
When Windows XP finishes installing the software for Android USB Ethernet/RNDIS, click Finish.
You can now use the new Windows XP local area network connection provided by your phone via USB tethering. For more information about configuring networks in Windows XP, see the documentation that comes with Windows.
via Android Devices: Tethering and Portable Wi-Fi Hotspots – Android OS Help.