If your connecting it though you pc you need to enable internet connection sharing in windows XP.
From
Xbox.com | Shared PC: Windows XP
1. Log on to your PC as Administrator or Owner. *any account thats set as "computer admin" will work*
2. In Windows XP, ICS is automatically loaded during installation.
3. On the taskbar, click Start, right-click My Network Places, and select Properties.
4. Right-click Local Area Connection.
5. On the shortcut menu, click Properties and click the Advanced tab.
6. Below Internet Connection Sharing, click the Allow other network users to connect through this computer's Internet connection check box.
7. Click OK.
The connection to the Internet is shared to your Xbox console.