Network bridging in XP allows you to connect your XP machine with multiple network interfaces (ethernet, wireless, usb, etc) to each other without a router. What this does is allow for inexpensive connections of simple networks.
If this isn't clear here is a good explanation. Link
Example:
Computer1 ----- XP with two interfaces ----- Computer3
|___________________| |_______________|
A Bridge will make those two connections one logical network looking like:
Computer1 -----XP with two interfaces ----- Computer3
|___________________|_______________|