The filesystem on an XP or other Windows box has a set of access control properties. These properties are maintained as access control lists on a directory basis. These are the NTFS permissions. They limit the accessibility of those directories to someone with physical or remote access to the filesystem.

The Share permissions instead limit people from accessing a computer from over the network.

The two permissions often overlap, when viewed from the network access point of view. However, if the filesystem is FAT, then you don't have the NTFS protections. Likewise if you gain physical access to a machine, and you can log in, you don't have SHARE permissions.