windows xp comes with a lot of "junk" running in the background that youll never ever need.
crap like "smart card helper", lol. or "help and support" or "portable media serial number" or even "performance logs and alerts"
What you need to do is turn off the stuff you dont need..to free up some resources etc.
go here
http://www.blkviper.com/WinXP/servicecfg.htm
it tells you how to disable the unneeded services.
I use the "safe" configuration. He may have changed it now but one of the services he recommends to turn off will disable the firewall, i cant remember which one..but when you run 'services.msc" you can look at the firewall properties and click 'dependencies' and find out what the firewall depends on and dont turn any of that stuff off.
Also, maybe you have antivirus running when you are playing?? Maybe that is loading you down some?
JP