Here's what I have found is the easiest way:

On the Windows machine, you might need to go to "Local Area Connection
Properties" and make sure "File and Print sharing for Microsoft
Networks" is enabled.

On the Windows machine, create a folder to be shared on your network.
In Windows Explorer, right-click on the folder, and select "sharing and
security." A small window will pop up where you can check boxes
labelled, "share this folder on the network," and "allow network users
to change my files." Also enter a "share name." Copy a couple of files
into the folder.

Immediately, all other computers on the network can access that folder,
including other Windows systems.

On Ubuntu, open Places/Network. It should show you, "Windows Network."
Double-click on that, and it should show you the "workgroup" specified
on the XP machine. Double-click on that, and it should show you the
computer name. Double-click on that, and it should show you the "share
name" you entered above. Finally, double-click on that, and there's
your folder.

You can copy and paste files both ways, from your Windows computer, or
to your Windows computer. Or you can play songs or view videos,
anything you could do from Nautilus with files on your computer.