Try this one out:
http://myslax.bonsonno.org/
I'm not sure I quite get the question, but you can read/write to the same USB drive and swap it between Win/Linux right? I would imagine it is all about compatible file systems.
You can read that live CD in Windows and Linux, right? It is a file system, that they can both read.
Windows XP can read/write to NTFS, but I don't think SLAX can reside in an NTFS partition on a USB drive and still be bootable. I don't know that for a fact, I could be wrong.
I'm pretty sure they can both read/write from FAT32. I guess that would be the logical choice. Maybe even FAT also.
I guess the question is, what FS can SLAX boot from that is still readable/writable by XP.