I can't think of what else you need to know. Hopefully, this will get your started.
I don't know where the .emacs file is located on XP. This is from the Info page:
On MS-DOS, file names are case-insensitive and limited to eight
characters, plus optionally a period and three more characters. Emacs
knows enough about these limitations to handle file names that were
meant for other operating systems. For instance, leading dots `.' in
file names are invalid in MS-DOS, so Emacs transparently converts them
to underscores `_'; thus your default init file (*note Init File::) is
called `_emacs' on MS-DOS. Excess characters before or after the
period are generally ignored by MS-DOS itself; thus, if you visit the
file `LongFileName.EvenLongerExtension', you will silently get
`longfile.eve', but Emacs will still display the long file name on the
mode line. Other than that, it's up to you to specify file names which
are valid under MS-DOS; the transparent conversion as described above
only works on file names built into Emacs.
`HOME'
The location of the user's files in the directory tree; used for
expansion of file names starting with a tilde (`~'). On MS-DOS,
it defaults to the directory from which Emacs was started, with
`/bin' removed from the end if it was present. On Windows, the
default value of `HOME' is the `Application Data' subdirectory of
the user profile directory (normally, this is `C:/Documents and
Settings/USERNAME/Application Data', where USERNAME is your user
name), though for backwards compatibility `C:/' will be used
instead if a `.emacs' file is found there.
Good luck,