I don't know how to do it on XP, but I have done it on Vista Home Basic, and I will try my best to translate it into XP process.
Go to "network connections" or "manage network conenctions". Click on File>New incoming connection>Select users allowed to connect>Choose interface(modem) and continue.
I has tried this when I wanted to share internet on my Nokia 3110c. Unfortunately, through I succeeded in setting up the dial-up server, I failed to configure my Nokia phone and could not use it. I have almost given up on it because I didn't feel it was worth to try that once again.