By default, Windows XP attempts to connect to wireless networks
in the following order:
Windows XP periodically checks for new available networks.
If it finds a new network listed higher in the Preferred set
that is enabled for auto-configuration, Windows XP will
automatically disconnect you from the lesser-preferred network and
re-connect you to the more preferred one.
Steps:
Your problem should be solved.
Mod edit: Added steps, removed some unnecessary and confusing
points
