Duncan,
I have used XP pro successfully the way you want to, so there's hope. To the best of my knowledge, you get prompted for user name and password only if the user name you are using for windows doesn't match the user name on the e-smith, otherwise you should just get prompted for a password (I think!!). So double check that your XP user name matches exactly the e-smith user name.
Other checks - is the user account on the e-smith enabled (sorry - don't mean to insult you, just a double check), also you could try mapping a network drive on your XP machine and using the 'connect as a different user' option. This way you'd be sure of the user name & password being used. Not a solution, I know, but may help with the testing.
Cheers