Actually, you CAN install Windows on a macbook. You still need to have a valid Windows install disc and BootCamp (which should already be included with the mac os - I think in the "Utilities" folder, which is in the "Applications" folder) and it will guide you through the installation process. With BootCamp, you can choose to boot into either mac os or windows. All versions of windows are supported. (You can also buy "Parallels" which is like BootCamp, but lets you run windows os inside mac os, so both operating systems are running at once.)
Comparing mac os and windows xp on a macbook, the mac os will have slightly better integration of things like the iSight camera (because it has its own special app in mac os), but after you download all the new drivers for windows (BootCamp should tell you how) everything WILL still work in windows xp. The trackpad, keyboard, USB, DVD drive, etc. will all work the same in windows.
Actual applications are NOT compatible between mac os and windows xp. For example, there is a mac version of microsoft word, and a windows version. To use Word on both operating systems, you would have to buy two sets of microsoft office. This isn't usually a problem though, since you can just switch to the operating system with the right list of programs, so you only need to get an application for the operating system you plan to use it with.
Also, you want to make sure to get good anti-virus software, since windows is far more vulnerable than mac os, even on macbook hardware. For more basic differences between the operating systems themselves, you can search Google.