@eragon: Its a little difficult to walk someone through this, or I should say a bit time consuming, so I'll come right out and suggest an external hard drive would be a lot easier. Still, you asked for a specific way, so lets accomodate that.
First, you're going to need to set up something on the windows machine to allow file transfers. I'm going to suggest nfs- it is clean, it is tidy and I'm guessing you have more experience in Windows than Linux, so it'd make sense to give you instructions where the more techie stuff is windows side. NFS stands for Network File System, so I'm sure you can guess what we'll be using it for.
Is a good (probably, no way to check for me, seems sound) to set this up on the windows side, though it sounds like you may need to burn some disk (If not, I'm pretty sure there are other guides to do the same). On the linux end, under the live cd, you just need to set up an nfs-server and then mount which ever directory (I'd reccommend what was your C drive under vista
) you want under XP. This will then be visible on the XP box and you can copy everything off.
On the Linux side you will need to open a terminal (Applications -> Accessories -> Terminal) and enter the following
sudo su -
apt-get install nfs-kernel-server
then give us the output of
fdisk -l /dev/sda
fdisk -l /dev/hda
And I can walk you through the rest (Its just so we know which the windows stuff is on to share, you see)