IPX is an ancient network protocol created by Novell for their Netware network system.
It's true legacy now, not unlike TokenRing networks.
There are some IPX over TCP tunelling drivers out there that can let you set up an IPX stack so old software needing it thinks it's talking IPX when in fact it's talking TCP, but I've no experience in using them.
XP does have its own IPX/SPX connection stuff, I use it all the time.
To set it running, simply go to your Control Panel, Network Connections, Local Area Connection and right click to get the properties menu up.
Scroll down the list first to make sure the IPX protocol isnt in there, if it is then its running.
If it isnt in the list then click on install ( you wont need your XP cd ) select protocol in the popup menu, then select the IPX item. Click on OK.
Once installed reboot your PC.
If your playing IPX games over a LAN or the Net you may come across some firewall issues with certain brands of firewall software so make sure you sort them out before you start playing. Ive found its better to delete the setting from the firewall and have it redetect than to try and modify.
Anyone wanting to use IPX with Vista, good luck, it isnt supported any more. The Novell Software approach may help.