What makes this truly devious is that there's a kernel of truth to it: Connecting Windows XP to the internet will indeed give you a bad day.
That's not what happens most of the time now, though: Most computers, Windows XP or otherwise, are going to be connected to a LAN behind a gateway/router and a firewall sitting between the LAN and the internet. Windows XP is therefore isolated from most of the threats that are indeed very real.
Windows XP itself also has a firewall built-in, though the OOTB settings won't provide adequate protection.
The moral of this is, the best lies are those with hints of truth sprinkled in.