If you search Google for information on how to create roaming profiles in Windows XP you find some pretty intricate nity-gritty guides such as this one: http://computertips.toups.info/roaming/RoamingXPPro.htm. It is fairly complicated with a lot of obscure settings. Thus IMHO it is inelegant and should be avoided.
My system is a simplification of this guide. I assume you are familiar with the settings you need to change, so I won't actually get into how to change them. The only recommended additional software is a good backup/synchronization program. My favorite is SyncBack Free Edition (http://www.2brightsparks.com/downloads.html#freeware), but surprisingly Microsoft SyncToy is also pretty good (http://www.microsoft.com/windowsxp/using/digitalphotography/prophoto/synctoy.mspx).
Step 1) Create a user account with the same name and password on all desired computers in the workgroup. (They can actually be different but it's far simpler this way). Login with each user to create the directory structure.
Step 2) Disable Simple File Sharing.
Step 3) Create a hidden share of your user folder on each of the computers. You do this by appending a $ to the end of the share name. (ex: c:\Documents and Settings\user --> \\ComputerA\user$). Grant your user account full permissions to the share on each computer. For security I like to remove all other accounts that may be there.
Step 4) Ensure that your account also has full NTFS permissions to the directory in the 'Security' tab. As with the share I like to remove all other users/groups.
Step 5) Choose what you'd like to mirror between the computers. I do the following:
Documents and Settings\User\My Documents\
Documents and Settings\User\Program Files\ #Here I store 'portable' programs. Ones that don't rely heavily on the registry. Currently TrueCrypt, uTorrent, eMule, SyncBack Free, Trillian, and PuTTY
Documents and Settings\User\Application Data\Mozilla\
Documents and Settings\User\Application Data\Thunderbird\
Documents and Settings\User\Application Data\<other>\ #Settings for the Program Files that refuse to be located in the program directory (TrueCrypt)
Documents and Settings\User\Desktop\
Documents and Settings\User\Start Menu\
Step 6) Implement your backup rules in your utility of choice. I think it's easiest to run it from only one of the computers (especially if you have a primary). In my house I consider my laptop my primary computer and the others secondary. Therefor I choose to Backup (or Echo) my Laptop files to the other computers. Stuff I delete from the Laptop remains on the other computers for backup purposes. I choose to do a Sync for the Firefox and Thunderbird folders so they are identical on each computer.
I recommend you handle each folder separately. Attempting to sync Documents and Settings\User\ and customizing which subdirectories to backup is not well supported by any utility that I've come across.
Step 7) Schedule the backup routine(s). SyncBack makes good use of the Microsoft Task Scheduler. You have a lot of options here like sync at logon, daily, or when idle.
Step 8) Enjoy! You now have your documents and settings on multiple computers in a workgroup. You can even modify the system slightly to backup your important files onto a disc, or copy to a new computer unrelated to your workgroup. When you get the feel for the differences between Sync and Backup you'll be very happy with your profile.
Typically Backup is used when you want the changes made on Computer A to have a higher priority than Computer B. Sync is used when A and B have equal priority. SyncBack Free has tons of easy to use options so you can customize when or when not to delete, rename, etc to any file.