Here's some suggestions you might find helpful to install, run and maintain a clean Win XP system:
1) Make sure your hard disk is OK. I can thoroughly recommend Hiren's boot CD to check your drive for bad sectors and to also reformat it (and setup partitions if you want a multi boot system).
2) Make sure your XP install disc is clean. You can slipstream updates into the CD if you want but you'd need a clean computer to do so. Don't bother slipstreaming updates on your current system as it sounds totally screwed.
3) Install XP on the freshly formatted disc with the internet disabled, i.e. unplug the ethernet cable. Most systems get hacked within minutes of going online after a clean XP install.
4) Install an antivirus. Most of my systems use AVG free antivirus. You mentioned you were using Panda previously. I'd get rid of that one personally. Others here like Avast and Kaspersky. I'd use one of these three. Norton has been slow and buggy and unreliable for years so avoid it.
5) A REAL software firewall is a must. The XP firewall is NOT A REAL firewall. An easy to use firewall like Zonealarm is good. I use an old version of Zonealarm, version 4.5.594.000. IMHO this is the best firewall ever created for XP and Win2000. I always disable the XP firewall - it is useless.
6) Once your firewall is installed, connect your ethernet cable. Goto
www.grc.com and click "Shield's Up". Use this site to test your computer's firewall and fix any deficiencies it identifies.
7) Now update XP. If your XP isn't a genuine purchased version, DON'T UPDATE - post here and I can explain how to update it safely.
8) Finally, scan everything you download, don't click on links in emails or MSN or whatever and don't run email attachments without scanning them first.
Hope this has been helpful.
Seriously, maintaining a clean XP system takes a bit of work. Maybe I'm paranoid but I boot the Ubuntu 7.04 CD on a computer behind a NAT enabled router to do my internet banking. That's how much I don't trust XP.
By the way. Once you have a clean system setup, I'd seriously consider changing your passwords on any personal accounts/email/whatever you have been using on that computer as you have no idea what has been keylogged. It's hard to get your money back from the bank when you have been defrauded.