Crossover.

   On the WinXP PC, create local user account(s), with non-blank
password(s), that have the desired access privileges to the desired
shares.  Log on to the other PCs using those account(s), and you will be
able to access the designated shares, provided your network is
configured properly.  Also, make sure that WinXP's built-in firewall is
disabled on the internal LAN connection.

   On the Win2K PC, create local user account(s), with non-blank
password(s), that have the desired access privileges to the desired
shares.  Log on to the other PCs using those account(s), and you will be
able to access the designated shares, provided your network is
configured properly.

  Usually, WinXP's Networking Wizard makes it simple and painless --
almost entirely automatic, in fact.  There's a lot of useful,
easy-to-follow information in WinXP's Help & Support files, and here:

Home Networking
http://www.microsoft.com/windowsxp/home/using/howto/homenet/default.asp

Networking Information
http://www.onecomputerguy.com/networking.htm

PracticallyNetworked Home
http://www.practicallynetworked.com/index.htm

Steve Winograd's Networking FAQ
http://www.bcmaven.com/networking/faq.htm

Configuring Windows 2000 Professional to Work in a Peer-to-Peer
Network
http://support.microsoft.com/default.aspx?scid=KB;EN-US;q258717

If you don't use a hub, switch, or router, you need a crossover cable. But
note that a crossover cable *is* a network cable, just a special kind of
network cable.

What kind of internet connection do you have? Dialup? DSL? Cable? Other?
Unless it's dialup, you'll find that doing it the way you propose is a poor
method. You'd be much better off connecting your DSL/Cable modem to an
inexpensive router, and connecting to that router with ordinary CAT5 cables.
That way, one computer doesn't have to be on for the other to use the
internet connection.