@Jur: As I found your little problem rather surprising I tried to replicate it here: I did a rather "quick and dirty" installation of XP (just SP2 as that was the slipstreamed CD I could find right now), BUT I left initially the network configuration of the VM without any NIC.
After the OS installation (and some minor customisation of the UI) I also installed from 'VBoxGuestAdditions.iso' the GA for XP (note: the ISO image I had previously downloaded and copied to '/usr/local/share/virtualbox'). I then performed a shutdown and added a NIC leaving everything to the default settings (i.e. 'PCnet-FAST III (NAT)' which XP recognizes as "AMD PCNET Family PCI Ethernet Adaptor"). The following restart of the VM lead not even to any kind of pop-up message box and I was mildly surprised that the NIC was fully operational.
So I'm not sure what's happing at your side of the ditch. I can only assume that your VM was using a different default NIC. I'd imagine that the choice of it might differ depending on the OS type settings when one initially creates the VM.
EDIT: I've now done a bit of extra testing and of the six NIC adapter types one could chose from in VBox the following ones were requiring extra drivers for XP:
- Intel PRO/1000 MT Desktop (82540EM),
- Intel PRO/1000 MT Server (82545EM), and
- Paravirtualized Network (virtio-net)
OTOH the following three were fine insofar as XP already had a driver for them:
- PCnet-PCI II (Am79C970A),
- PCnet-FAST III (Am79C973), and
- Intel PRO/1000 T Server (82543GC)