You have not indicated which machine will be the gateway to the Internet, although since you mentioned a router I am going to assume that a broadband router will be your Internet gateway.
Nothing needs to be added to Windows XP Pro in order for them to be wireless clients, in fact I have found that installing the wireless network manager that comes with the cards can sometimes cause issues. If you are prompted to select a wireless network manager during driver installation choose to let Windows XP manage your wireless connections.
The real key to a wireless network is getting the proper settings into your router to make it properly secure. Usually by default they are wide open (to make it easy for newbie users to get their PC's connected with fewer calls to Tech Support). It is very important to find the setting in the router that prevents it from broadcasting the SSID. The SSID is the network name of your wireless network and any computer that wants to connect must know this. Most routers are set to broadcast this so that any computer can connect. Also change the SSID from it's default factory value to something else.
If you are only going to allow your own computers to use your wireless network it is also a good idea to turn on MAC filtering. This means that you must build a table that contains the MAC addresses of your wireless network cards but then only those cards will be able to connect.
It is also a good idea to turn on encryption. WPA if the router and all your cards are capable of it. WEP at the very least.
Good Luck
