A coupla things here Jant,
Make sure - before you go any further - that your mode setting on the XP is set to "perform". You will find your 3 mode switches just to the lower left of the display window.
In perform, all of your midi channels are on. This will greatly eliminate your margin of error. Next, I got to assume you have a midi cable running from the i/o of the XP to midi connection on your soundcard.
At this point you need to check your control panel and see what kind of midi ports you have available.
You can also do this in cw from options/midi.
It would be best if you could load a midi file into cakewalk and get it to play and try different port settings till you find the one that kicks in the xp.