In the past I have worked with the microchip PIC family, but I would like to broaden my horizons by working with XP embedded systems, and I am looking for suggestions on where to start.
Unless you are willing to pay extremely high licensing fees to Microsoft (extremely high being relative to free when programming a PIC) you are basically out of luck.
XP embedded is licensed on a negotiated basis. You'll have to make a connection with a Microsoft reseller and call them up.
Windows XP Embedded is quite a different animal from a PIC embedded system. It's really the desktop Windows OS with very fine-grained control over exactly which components of the OS actually get installed along with a few device drivers tailored to controlling how the file system and registry con (or cannot) be changed.
You can download a trial (they also have a CTP for the next version that's based on Windows 7, and I understand that an RC is soon to be released) from here:
You can install the configuration tools on your existing PC and installed the 'custom' build of the Embedded Windows OS on another partition, another standard PC, or a virtual machine.
To get a non-trial/eval version of the tools you'll need to have an MSDN Premium or better subscription or buy the "full packaged product" (FPP) which lists for about $1000. As David Pfeffer indicated, the licensing fees for a product based on Windows XP Embedded are negotiated with Microsoft - apparently they start at about $90 per unit and presumably go down from there depending on how many units you commit to.
As a bridge between embedded PICs, which I love, and Windows XP Embedded as described well by @Michael Burr.
You might want to consider Windows CE/Mobile/whatever-call-it-this-week. Another interesting Microsoft area to consider is .NET Micro Framework. Either of these paths, in my opinion, are a better bridge from where you've been towards Windows Embedded. As Michael explains, XPE is just as way to create a very customized version of the desktop OS.