Although Windows comes with Chinese fonts and IME (input method) that you may optionally install from your Windows CD, we still prefer online Chinese input like the one we have here at Chinesebay.com.
How to Input Chinese in Windows XP using Pinyin
Youtube has a great video to show you how to set up the Chinese input from Microsoft Windows XP by geekannex.
Microsoft Pinyin is great if you use Windows a lot. I love it myself before Google Pinyin and Soguo Pinyin came out.
We also have a good video tutorial on how to use our online typing without the trouble of installing anything. And it is compatible on most OS system.