After you login to XP the first time, you need to install fixes from Microsoft (called updates). Microsoft provides new fixes regularly (the schedule varies). After your first install you will have hundreds of fixes to install. After that there will be fewer.
There are two ways to do this. You can fetch the updates over the network and apply them. This takes a fair amount of time (sometime hours) and has the disadvantage that while you are connected getting your updates, you are open to attack. Still, it's better than not doing it. If you have a router in place, you're pretty safe, so go ahead and use the Network update.
Alternatively, you can get the updates on a CD, apply them offline (disconnected from the network) so when you do first connect to the Net, you've got most of the critical updates applied. If you apply updates from a CD, be sure to disconnect from the network - again, just to be safe.
Anytime you get updates from a CD, you will always be a little out of date. So, even if you apply updates from a CD, you must also immeditately get your updates over the Net. The number of updates will, however, be very small compared to getting them all over the Net. You can get a CD with Microsoft updates from at least these sources:
Installing from CD may likely require several iterations and reboots (this is Windows after all). Keeping installing until you are told you have all the updates applied. Now you are up-to-date with the CD - but not with the entire world. Get your updates from the Net now.
Be sure you are connected to the network for this.
The first time this is will take quite some time. Depending on your version of XP this might be 30MB or more. This will download the files and install them. There's a good chance this will require several reboots.
Just downloading data this large will take a long time. If you are using a dial-up, this will take hours and hours. Don't avoid applying the updates just because it'll take a long time, because your machine will be completely vulnerable. Go to bed and hope the dial-up connection stays up long enough for the data to be downloaded.
After the reboot, login again, and repeat this process. Don't be surprised that you must update and reboot several times. Continue installing updates until Microsoft says there are no more for you. You are just a little more secure now.
This updating is a process you'll be doing at least monthly as long as you use Windows. The default mode is for XP to download updates regularly and prompt you to install them. Do it every time. You can delay for a day or whatever because it's not a convenient time, but don't forget. To forget is to make yourself vulnerable to attack.