In the past I have worked with the microchip PIC family, but I would like to broaden my horizons by working with XP embedded systems, and I am looking for suggestions on where to start.
As a bridge between embedded PICs, which I love, and Windows XP Embedded as described well by @Michael Burr.
You might want to consider Windows CE/Mobile/whatever-call-it-this-week. Another interesting Microsoft area to consider is .NET Micro Framework. Either of these paths, in my opinion, are a better bridge from where you've been towards Windows Embedded. As Michael explains, XPE is just as way to create a very customized version of the desktop OS.