There are a number of parts of XP that are not automatically installed, and depending on who you got XP from ( pre-installed by a computer manufacterer, or from microsoft), what is default installed is different...
Go to start/control panel/add or remove programs.. On the left side are three big icons, the 3rd being "Add/Remove Windows Components".. click on that..a windows components wizard starts up, and lets you change what is installed.
I think ICS is part of "Network Services"...A box can be checked, blank, or grey..... make sure it is checked.