I've just done this for my xbox 360 using a 3 mobile broadband dongle. However, cakeboy is right in a way that you can't connect the dongle directly to your xbox, you need a gateway of some sort in between.
For me i used my laptop - simply created an ad-hoc network on the xbox, connected my laptop to that network and turned on internet sharing (on the laptop ofc). After that i had to manually input the details for the xbox - subnet mask (255.255.0.0), default gateway (laptop lan IP - normally 192.168.0.1 by default for "main" computer) and finally create a lan IP for the xbox - i used 192.168.0.102 and everything worked fine from there.
Admittedly the latency isn't great with the mobile broadband but i am having some troubles with it involving a game for my laptop - hopefully soon be resolved. My point is that i don't really know how it will work out for you and latency as there are too many factors specific to yourself - ISP, modem model, signal strength, etc.
This was done using a vista OS on the laptop but for XP just create a wireless network and enter the details into your xbox all the same. Granted this is done wireless but in essence its the same for a wired connection.
hope this helps and good luck