I have created a limited account on WinXP. I need this account to be able to create internet connections (PPPoE, connect through a modem, VPN, etc.). Is there any way to do so?
In the Computer Management Console of the Administrative Tools Control Panel, there's Local Users and Groups. In that you can set up or modify user accounts and place them in one or more Groups which determine their privileges. One of the predefined Groups is called "Network Configuration Operators" and the description says "Members in this group can have some administrative privileges to manage configuration of networking features" which sounds exactly like what you need.
i.e. In the Users folder select the user account you want to change and make them a member of the Network Configuration Operators group.