One extreme measure is to re-install Windows.
Over time Windows picks up all sorts of crap, such as registry entries, unwanted programs, programs that autostart, and so on.
You could clear the disk and start again, first making sure you have all the programs you need to re-install everything.
Note that Microsoft have aded lots of extra security featues in XP such as with Service Pack 2 and IE7.
If you have installed these they will probably slow down your system.
If it is the internet that is slow try going into Internet options on your browser and deleting all the files.
The browser usualy loos in your internet cache to see if a file is there before it downloads it from the web.
If you finish up with thousands of files in your internet cache then it can take longer to look through them all then to download it from the web.