I tried launching a Windows XP guest using VirtualBox (a free virtualisation software), and found myself in a copy of Windows without network connectivity. It was a trying problem that took me forever to figure out, but I managed to solve this problem by using the Intel network driver instead of the default PCnet-FAST III adapter (which seems to be hugely unpopular, at least from what the search results show).
With the Intel adapter, specifically the Intel PRO/1000 MT Desktop network adapter, I could find the driver easily on Intel’s website (at http://downloadcenter.intel.com/Detail_Desc.aspx?agr=N&DwnldId=8659&lang=eng).
The problem is that it requires you to download the file with your host OS, and transfer it to your guest Windows XP installation via a shared folder. But once you do that, you can install the driver and be running with a solid Internet connection.