If you really want to set up an XP box as a gateway you have a few options. There's always those application layer firewalls which work great on the computer they're on. Not so sure if they analyse traffic being forwarded in the case of a gateway but I would doubt it since they operate at a higher layer. I've never seen an implementation for iptables on windows but it could exist, the alternative I've been using is CHX-I. It lets you set rules on on the network layer and lets you assign specific rules to each network interface connected to the computer. The company was bought out but the free personal edition is still kicking around if you look for it.