I can't remember if it's strictly an XP thing or not (I think 2000 and 2003 use the same method too), but I do know that for XP you need XP Pro or you don't get a choice.
Anyway, to do it, open a folder (any folder) and at the top go to Tools -> Folder Options... Then go to the View tab and scroll all the way down in the Advanced Settings area. There you'll see the 'Use simple file sharing' checkbox either checked or not (enabled or not). Check the box, then click on the Apply button and then click on the Apply to All Folders button and then click OK. That's it.
Then you can just go to the Properties of each folder you wish to share, go to the Sharing tab, and share it.
Worked for me anyway... couldn't make it work any other way. I am using XP Pro SP2.