You definitely have to set up a Bluetooth tether as "dial-up networking", so that's right.
By default, XP will use whichever interface it thinks is the fastest, based on, I'm pretty sure, that interface's theoretical max throughput. This is pretty straightforward with LAN connections (1Gb/s > 100Mb/s > 16Mb/s > 10Mb/s > 4Mb/s), but less so when you add WLAN connections into the mix (108Mb/s >? 100Mbps). I have no idea what it thinks that the max throughput on a Bluetooth DUN will be.
Fortunately, all of this is tweakable by using route metrics, which is how XP implements this anyway. So you should be able to set the metric on your DUN interface to be very high and have it use that only when none of the other interfaces are available. (Use the "route" command from a command prompt. Use "-p" to make your changes survive reboot.) That said, I'm not totally sure how XP deals with DUN interfaces, so it might be more complicated than I'm making it sound.
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Bitt Faulk