XP has at least basic drivers for just about every piece of consumer hardware out there. The drivers that come with most peripherals might give you added features though. When I buy a new piece of hardware I will go to the manufacturer's website and see if there are newer drivers than what is on the included CD.
The first thing I would do is check for Windows updates after you get your internet up and running. And then make sure your anti-virus program is up to date too. From there just install one thing at a time as Keef suggested. While you shouldn't have any problems, it gets much harder to track things down if more than thing was installed at the same time.
Make sure the WindowsXP firewall is active if you do not have another firewall installed or do not have a router.