Lots of ways you could set this up. First, you might like to read up on private networks here:
http://en.wikipedia.org/wiki/Private_network
Second, do you have a hub or switch + CAT5/6 cables? If so, you can set up both machines on the same private network. Example: BSD box 192.168.1.15/255.255.255.0; XP box 192.168.1.16/255.255.255.0.
Then there are software considerations. Presumably you have only one modem and internet connection. You might run squid on the BSD box for the XP box to use.
Or... save yourself a lot of hassle and buy a hardware router/NAT device.
