In XP Start-> Connect to ->Show all connections
(By default it "connect to" option wont display. To enable this, Right click on Taskbar,click properties,click start menu tab,press customise button,then click Advanced tab and scroll down the start menu items choose the "Display as connect to Menu" radio button . Now click ok and apply.)
Now its will shows you all network adaptors like LAN,Wifi,Blutooth,etc.,
Right click on the wirless network connection ,Click properties,now tick the chekbox "Show icon in the notification area when connected "
Now refresh your network list available or search a network ,If the network is security enabled means it will promt you to enter the password or key given by your network manager.
Thats it .
If you have any doubts feel free to ask me.I will help you by providing screenshots.