One thing to be aware of is that you can either have Windows look after your wireless connection or install the software for in my case the USB wireless dongle thingy. I ran into problems with mine because I hadn't got my head around this and eventually I screwed up my network connections to the point where the network folder was empty, despite being connected both wirelessly and via the USB to the router
Only a fresh install of XP sorted it out.
If you go with the USB dongle route, just plug it in and let Windows do its thing, much easier.