Bebop,
There is a problem with your instructions.
Control Panel
Network Connections
Local Area Connection (or whichever is your primary Internet interface [with your WAN ip])
Properties
Advanced
Tick the box "Allow other network users to connect through this computer's Internet connection"
From the drop-down list select "Local Area Connection 2", or whatever is the connection name of your TAP OpenVPN server interface.
There is no drop down list in the xp network location you talk about. After you check "allow other network users....", there is a "settings" button. When you click this, you are presented with "select the services running on your network that internet users can access". There are some common ones there already that you can enable, but none are "local area connection 2" or your VPN interface.
You can hit "add", where you are expected to enter the information manually. It would be helpful if you explained what should be entered there.