Installing nmap security scanner on Windows XP is fairly easy. The easiest way is to download and run the nmap stable release executable file currently located here. You can verify the latest release by visiting nmap’s download page here.
Once the nmap.exe file is downloaded just double click it and choose a location to unpack the files. The easiest place would be something like c:\nmap or if you have cygwin installed you might want to do c:\cygwin\nmap. Make sure to note the location as you will need to add this to your path so you can execute it without having to be in the nmap directory.