This video tutorial from tarunkumarsinghal shows how to change Mac address on Windows XP.
Click Start menu and then Control Panel. Make sure control panel window is in classic view mode. If not, change it to classic from the left pane.
Double click Network Connection. Right click Local Area Connection icon and select Properties. Press Configure. Click Advanced tab. Select Network Address from the list.
Type new Mac Address in Value area.
Copy the changed Mac address. Press ok. Now check your new Mac address using CMD utility.
Click Start menu, Run, type cmd command and press Enter.
Type ipconfig/all in cmd window.
Check Physical Address and compare it with the new one you type in value area.