You need to do the Step 2 because knoppix will become a server and xp will be the client. An IP is needed for the pc to be recognize by others.Knoppix will masquerade ip to other pc.

Step 3 and 4 are straight forward. You can find it in 'tux icon'.
On the samba side, the important things is name of your xp user and password, workgroup must be the same.

You can do this the other way, without using linneighbourhood.
After you set all the above, mount all your partition in knoppix and set which folder you want to share (under properties-->samba).
Then from XP, open my network places, you'll see your knoppix pc and all the shared folder. Just drag & drop.