Is your hard disk using the FAT or NTFS file system? If you are using FAT then security is not possible.
I should also ask : Xp Home or Pro? Is the "Use Simple File Sharing" option ticked?
If it turns out that you are using the old FAT file system, then this is a very bad idea - - WinXp was not competently installed and this is a serious "false-start". You should get help getting Windows Xp reinstalled from scratch properly so that it uses NTFS as it is designed to do..
Contrary to the poor advice sometimes given, you should note that although you can convert from FAT to NTFS, this is not recommended, because doing so will not actually set up a proper security _configuration_ for you, as it would have been in WinXp had been installed properly in the first place. It would merely allow you to set permissions, but the system would still be totally insecure until a security configuration was designed and imposed. So unless you know how to use the tools to set security afterwards, or to get help doing so, so simply converting to NTFS misses the point.
Note that WinXp Home makes it difficult to find the Security tab, but contrary to what you might read (and contrary to the nonsense that Microsoft quote in the documentation), WinXp Home has all the same Permissions abilities as WinXp Pro, it's just that they are "buried" so that they are awkward to find.
Cecil Ward.