Well i know all the trollers and haters are going to jump on me, but xp pro is a very fast, stable, easy to use, intutive OS. Cant see what it gets knocked so much(I know there a re still problems), but on the whole a very mature and user friendly OS.
I do a similar thing, just bridge the two connections, and the run winmx on the gateway machine and use realvnc to control it