I'm getting slightly confused...
XP-machine is bypassing the SME server - i did not read in the manual that this is possible. But this not what i want anyway.

XP machine ist accessing the internet via the SME server - so this seems to be ok.
???
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Anyway, sorry if this is a pain, but earlier you said when you typed ifconfig, ppp0 wasn't listed. When you set up the settings when you first ran SME, how did you set your internet connection? Did you use PPPoE?
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Since I don't know how experienced a user you are I'm just gonna list some standard things to do that might get you up and running...
make sure your server is configured as something with 'gateway' in the name

eg, Server and Gateway, Private Server and Gateway etc. (that is if you want the xp machines to access the net via your server--which I'm not really sure if you're saying you do or you don't)
make sure your server is configured to access the internet via PPPoE if you are using an ADSL connection (login to the server as admin, on the server console that comes up it should be option 2--configure this server {look for External Interface Configuration})
make sure your ADSL modem is set to bridge mode
make sure your layout/wiring looks something like cactus' diagrams
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Hopefully that will help, but if you could, please post exactly the results of those tracert tests that were on the XP machines.
Cheers,

Josh