For WinXP, the simple parallel or serial type of interfaces will NOT work. They only work up to Win98.
You will have to go for one of the following:
PIC Serial Interface - Works on all operating systems, but is limited to FMS simulator. It's the cheapest way to get an interface.
Joystick Interface - Works on all operating systems, except Win NT(I might be wrong on this one). It will also work on most other games/simulators that have joystick support. It's more expensive, but works on most software.
USB Interface - Should work on Win98 and upwards. It simulates a joystick port, and should work on all games/simulators having joystick support. Ideal for notebooks that does not have a joystick port. The most expensive, but this is the thing to go if one looks at the trend in computers. With the newer PC's being build without serial,parallel or game ports, USB will still allow you to use your interface.
This is only my opinion, it all depends on the amount of money one is willing or able to pay for the interface. If you will only be using FMS, I will recommend the PIC serial interface.