From click here
2. Share Folders
Before you fire up WMP11 for the first time, enable File and Printer Sharing in Windows XP. Look for it under Start | Control Panel | Network Connections, then either Wireless Network Connection or Local Area Network, depending on your network type, then Properties. In addition, you must specifically share the folder containing your music files. To do so, right-click on that folder, select Properties, then Sharing, and share the folder on your network.