MAC address filtering to connect to the network only applies to wireless routers.
However, many home routers can apply outbound Access Restrictions per IP address / MAC address to deny specific websites or TCP/UDP services.
XP is a pain in that it'll lose any custom existing connections you have set. It's no problem with DHCP, however if you usually have custimised network settings (such as fixed IP), then XP will forget these if you make another network connection.
Not necessarily - XP lets you create an alternate fixed IP configuration that you can use when your system can't find a DHCP server. This alternate configuration lets you specify an IP address, subnet, gateway, and DNS servers. Works nicely if you have a work laptop on a home network - DHCP at work, fixed IP at home.
I can't remember if Vista / 7 has the same feature.
SD