Here's how you would do it on XP

1. Start->Control Panel
2. Click 'Network connections' if you're in classic view, or click 'Network and Internet Connections' if you're in the default category view, then click 'Network Connections'.
3.Right click your network or LAN connection, and select 'Status' from the popup box
4. Go to the support tab of the status box
5. Click 'Details' on the support tab

This will get you not only your DNS, but a whole lotta other info as well