You need a domain controller to make a domain, so just having XP Pro won't do it I'm afraid.
However, if you have a Windows account with identical usernames & passwords on both machines then it should still "just work". You can't put a Windows username/password in a SQL connection string - you'll need to run your code as that user. That can be done by starting your application using RunAs (shift+right-click on shortcut and choose "Run as...", or use RunAs at the command prompt).
This is pretty brittle but so long as you make sure the passwords are kept in sync then you should be ok.