Make sure you log into the media canter with a password.
Try connecting then then use the network connection wisard on the media center.
But I believe click here is your best option.
Found this on the MS site
Can I connect a new PC running Windows XP Media Center Edition 2005 to a work network or domain?
While you can access network resources on a work network or a domain, you cannot join a Windows XP Media Center Edition 2005 PC to the domain. PCs running Windows XP Media Center Edition 2005 are designed specifically for home use. Windows XP Professional features, specifically Domain Join and Cached Credentials (Credentials Manager for logons) are not included. As a result, you will be prompted for your logon user name and password to access network resources after you reboot or log back on to the PC. In addition, file shares or network resources that are set to require a domain-joined PC for access will not be available. Remote Desktop and Encrypting File System support are still included.