I did pretty much the same as described in this question:
Windows 8 Hyper-V - how to give VM internet access?
However, I still don't have internet access on the WinXP VM. I tried also by adding legacy network adapter and making it use the created virtual switch.
However, the internet connection is still not available. I can see in the device manager that ethernet device is added but it's missing it's driver (it has a yellow question mark on it)