I'll try and give you a few pointers to what you are wanting to do!
As you found out the XP network setup wizard is quite exclusive in what it'll run on
You already have one of the main bugbears of home networking sorted out and thats the sharing of your internet connection!!!
Right, firstly make sure that both your PC's are on what is known as the same 'WORKGROUP' you can confirm this by right clicking on your main 'My Computer' icon and selecting properties, then selecting the 'Computer Name' you should be able to see the name of the Workgroup, change both machines so that they are the same, These directions are for XP, but the process for checking Win2K is similar!
The other thing I recall that is a bit of a pain on networking Win2K to XP is that you need the same user name on each of the machines, for example if you have a user called 'dyslexic' on XP box make sure that the same user id exists on the Win2K box.
You will all need to make sure that you actually share something, right clicking on folders on each of the machines you will see a tab called 'sharing and security' (XP only, Win2K is right click then select 'Sharing' tab ) selecting these will let you choose a name for the share and set any relevant permissions etc.
File and Printer sharing also needs to be installed on each of the machines, now I know XP certainly installs it by default not sure on Win2K, but if you go into your 'Network Connections' page via control Panel, right click on your LAN network connection and select properties and you should see an option called 'File and Printer Sharing' make sure this shows on both machines and make sure that it has a tick beside it!
When your network is configured and working, you will find that you have an icon in your start menu, cunningly entitled 'My Network Places' clicking this will bring up an explorer window which shows all the computers on your network, clicking on a computer name will then bring up a list of files and folders that have been 'shared' on the remote computer.
Now as for your printer, it does differ slightly depending on which box you have the printer connected to at the moment, obviously the sharing of the printer will be dependant on the machine that it's connected to being switched on, unless you are considering buying a dedicated printer server? If the printer is connected to Win2K box, via 'MyComputer' or via the Control-panel, right click on the printer to be shared and select from the pop-up menu 'Sharing', you will see that this is a resource that is shared just like a folder, on the other machine to add your networked printer just go to (on XP) Start menu/printers and faxes and click on add printer this will then let you connect to your remote printer, if you select browse for printers and then select your printer when it shows up in your workgroup, or input the address in the 'connect to this printer' box, using the format \\yourremotecomputername\printername, if this has worked, it should (if I remember rightly) ask for your printer driver disk as the drivers for the printer need to be on both machines for it to work correctly.
Well hopefully that should get you going in the right direction! As I mentioned there are differences in this process for both Win2K and XP but the majority of it is very very similar, so you shouldn't have to much trouble figuring it out!