well theres a couple ways you can do it.
the simplest and cheapest way would be to connect the two machines using a crossover cable...it looks just like a regular network cable, but the wiring scheme is different...if you have the right tools you can make your own, or you can take an existing patch cable(regular network cable) and turn it into a crossover...you will need a Network Interface Card for both machines as well
another way would be to get a hub,switch, or router...routers are the most expensive, but they have built in firewalls usually..a switch would be my choice....and normally you would plug your DSL modem into the switch i think..but since yours is USB i suppose that you would..plug your DSL modem in the main machine, then take a patch cable and go to the switch, and another patch cable from the switch to the other machine...
still another way is wireless..theres to much to discuss there..but you would need some sort of wireless adapter for both machines, which are available in many forms, such as USB and PCI...and if im not mistaken you need some sort of wireless router too...just make sure the things you get all support the same standard...802.11b is the cheapest but also the slowest...802.11g is the more popular one, its faster than b, and is also backwards compatible, but is also more expensive. 802.11n is out there, but its very expensive and harder to find...
the easiest way to do the actual networking part would be to first off simply physically connect the computers using whatever method you choose, then run the Network Setup Wizard on the XP machine, then it will tell you how to run it on your ME machine and whatnot..Service Pack 2 for XP also has a wireless network setup wizard that you can run..
i hope this helps a little