You have to install the Network Monitor separately -- it does not install by default with Windows. You have to have your Windows XP CD to install it from. These are the instructions from Microsoft for installing:
How to Install the Support Tools from the Windows XP CD-ROM
and here are the Network Monitor instructions:
How to capture network traffic with Network Monitor
Then you use the Network monitor tool, Start Capture, and use the Internet from your browser. You'll probably need to configure the Network Monitor to keep a very large .cap file, because there's a lot of data in typical day's browsing.
You can reduce the amount of network traffic you capture by specifying http protocol only, and possibly by identifying the IP addresses of the sites you want your use statistics for. However, sites like Yahoo have many IP addresses, so it might be difficult to specify the IP addresses just for Yahoo.