Check for update compliance
For Windows XP to be able to use NLA, it must first be updated to SP3. Additionally, I would suggest installing the RDP v.7 update as well since it brings the full functionality of NLA into play.
Navigate to and modify the registry keys
There are two keys to change. The first is located at:
You are going to modify the key named 'Security Packages'
The second key is located at:
You are going to modify the key named 'SecurityProviders'
Close the registry editor.
Restart the computer.
After the restart is complete. Test the NLA functionality by attempting to RDP to a server that only accepts RDP connections from machines that use NLA.
If it works, you have succeeded. If it does not work, then you should check to ensure that the above defined changes have been made correctly.