as i can see u have 3 options right now.
1- install VPN server on linux.
i didnt mean there was a easy way to install vpn server.
i use poptop on linux with 2.4.x series kernel, and it needs kernel modules and some iptables comands. i can say it is hard.
u can try openvpn (http://sourceforge.net/projects/openvpn/
) and freeswan(.org)
if i remember correctly they are ipsec based VPN server. and i didnt try them b4.
2 - install winscp(.sourceforge.net) on xp client to get or send files via ssh. easiest way.!
3- if your modem doesnt support VPN, buy a new one which supports VPN
maybe u have more options. but i just know these.