Actually, I have a similar setup at home. My main machine runs XP Pro (simply because my partner uses it) and the machine I use is actually on an XP/Red Hat dual boot (or was, but that's a different story, Mandrake is downloading right now)
So, yes I can tell you exactly how to get this working (so long as you know how to change network settings in Mandrake as I've not used it yet) with XP sharing the internet connection.
Firstly you'll need a crossed ethernet cable, they're not expensive but if you really can't go out an buy one and the spare cable you've got is a straight through then you can find out how to rewire the cable by doing a search on google I imagine.
Don't use the networking wizard on XP, more often than not it fails to setup ICS correctly. Go to network connections and double click on your internet connection. Select Properties : Advanced and check the share internet connection box. Click OK.
Next double click on the network connection (the one that goes to your Linux box) and select properties. Double click on "Internet Protocol (TCP/IP)" and check the "Use the following IP address"
Enter the following details:
IP Address: 192.168.0.1
Subnet Mask: 255.255.255.0
You don't need to specify Default Gateway or DNS for this one.
XP will now be sharing the connection and all you have to do is tell the Linux box how to use it. The device should be eth0, and you need to allocate the following settings for it:
IP Address: 192.168.0.2
Subnet Mask: 255.255.255.0
Default Gateway: 192.168.0.1
Primary DNS: 192.168.0.1
As I said, I don't know how to edit these settings under Mandrake as I've not used it yet, but AFAIK you should be able to do it from the Mandrake control centre.
Hope this helps