Sure - it's a standard Windows thing. First, if you have simple sharing turned on - and I think it may be turned on by default, at least on XP home - you need to turn it off under Tools / Folder Options / View / Use simple file sharing [last option in the list].
Now go to the "Sharing" option on any drive, and select "Permissions". This normally lets you specify any user name or group name to give permissions to, but you can also type "Authenticated Users", which is a built-in group that includes ANY user who's logged in. (This was more obvious in Windows 2000; in XP you sort of have to know that it's available.) Basically, that means "everyone but 'guest'", so that someone who happens to get access to ports 137-139 won't automatically be able to access your files - they need to log in somehow.
I imagine the same thing should happen even if you're specifying actual user names instead of "Authenticated Users"; my gut tells me the problem is that Explorer is authenticating but Media Server isn't/can't.