Please take note that I will only teach you using the remote desktop connection.
Step #1- Go to start/all programs/Accessories/Remote Desktop Connection
Step #2- Open the Remote Desktop Connection and click the Options
Step #3- In Computer input the IP address that is given to you when you purchased your VPS account and in the username just input the username that is given to you also in order to access. Then after that you can also save your credentials then click "Connect"
Step #4- After you've connected if a password protection pops-out then you need to type in the password that is given to you so you can now finally used your VPS account in XP
Note: (You can login as many VPS accounts at the same time if you wanted to)

