I searched on the net on how to limit download speed but I only find some software. Is possible to limit the download speed in Windows XP by configuring some settings on the computer? How I will limit the download speed ? I only want to limit the download speed not the internet speed.
It is probably not possible to do this well. Generally you can only limit speed leaving an interface. There are hacks which deliberately drop packets to cause TCP sessions to retransmit slower which works (in theory) with TCP, but its quite crude and inaccurate. Realistically though, this is something that should be done on a router, as a router always has an interface where packets leave the interface (where the packets are not dropped).
You might want to advise what protocol you are using, as some software has rate limiting built into it, which can be useful if you have multiple simultaneous connections (simultaneous connections will sometimes defeat dropping packets to get TCP connections to go slower, but you can limit the number of connections in, for example, P2P clients).
After reading the question I can say the following: for Windows XP (or any OS, by that matter), it is impossible to do that.
Why? OS don't distinguish between what you call Internet and what you call download because, essentially, they are one and the same. In order for you to use the Internet what you are doing is downloading the resources provided in the address you typed in order to see them.
However, if you were to change settings inside a browser, that would be doable. Assuming you used Firefox, there is an addon called DownThemAll!. It is a quite versatile download manager and accelerator. One of it's features is a limit on download speed. Never used it myself, but it should work.
Why does this work? Because browsers understand your concepts of Internet and download.
This picture was taken from the Screenshots portion of the site I referred before. The Download Limit dropbox is located on the lower right corner, next to Preferences.