You can go ahead and share any folder under your XP VM, your shared folders will work as usual(Like Physical System, will be available any where in your network).
The option you are talking about is not related to ESX, It is for VMware Workstation for sharing folder between Guest OS & Host.
Cheers,
~ Jain
~ Do not forget about points,if you found answer useful
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*Jain* | VCP4 | +Please award points, if you found answer useful+