You can not run iCloud on an XP computer. If you have Vista or Windows 7 you need to download and install the iCloud control panel.
Apple - iCloud - Learn how to set up iCloud on all your devices.
If you are on a Mac, you'll find the settings in the System Preferences.
Photo Stream is only supposed to work wiht photos that you take or add your device after Photo Streaming is activated. It if older photos are syncing, it's a fluke. It does not exactly add the new photos to your device.
Photos left in Photo Stream will disappear after 30 days, or get pushed off the end if you have more than 1000 photos.
If you want to keep a Photo Stream photo on your device permanently you must copy.
The exception is your computer. The computer program you use Photo Stream with is supposed to keep the photos indefinitely, even after they are deleted on the iCloud side. I'm not certain about this last. The behavior may vary depending on the computer app and settings.