The actual setup depends on the version of WinXP that you are using, as well as what the file server is running. Most likely your school is using some sort of domain controlling server, which isn't that hard to do, but can be painful at times.
Also, depending on your XP setup, you need to be sure you don't have the files set up for anonymous access, and have told it to allow access to users of your computer only. Then be sure to set the file permissions for the user accounts that you want to have permissions to use the files.
If you can provide more details about how you browse to the files, it might help us instruct you how to set things up.
Tell us how you browse to these files from the desktop, as well as what you see on the login screen. Include information on the login prompt- Do you just put in USER, PASSWORD? Or is it something always like thisdomain\USER, PASSWORD?
Hope this helps, and let us know.