First of all, I assume that you have XP Pro and not XP Home.
This behavior is usually set by group policy. If you have administrator privilege, you can start up the Group Policy Editor (Start -> Run -> "gpedit.msc") and navigate to:
User Configuration -> Administrative Templates -> Control Panel
and on the right side, double-click on "Prohibit access to the Control Panel" and change it to "No". If you find that it is grayed-out and/or you can't change it, that would indicate that there is a Domain Policy in effect that will not permit this operation.
You *might* be able to affect this behavior by using Regedit to delete the following registry value: