If you connect the Mandrake and the WinXP boxes using a private IP address, then you cannot route directly through to the wider world, but must present the one publicly recognised address that the ISP has allocated to you for both. Firewall products (like Smoothwall, for Linux) usually do this via Network Address Translation (NAT). In the Winworld you are looking at Microsoft Internet Connection Sharing (ICS) on the XP box.
You connect the two boxes on a private LAN, using whatever "Private IP Address" you prefer (like 192.168.x.x per RFC1918). I have heard that Mandrake 10 has implemented "Zeroconf" using Automatic Private IP Addressing in the range 169.254.1.0 to 169.254.254.255 that is compatible with Win "Automatic" address allocation.
See the Microsoft Knowledge Base for configuring the ICS service on WinXP.
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