Windows XP computers are unlikely to to have wireless capability built into them. So, before proceeding further, I've got to ask whether you've actually got a wi-fi dongle plugged into your computer (or, unusually, a built-in wireless adapter)? If not, you're wasting your time! (Use an Ethernet cable instead, which is what XP assumes you'll be doing anyway).
If you've got a wi-fi dongle, the instructions which came with it are likely to take precedence over any normal Windows instructions. However this video might be relevant: