I recently saw a powerpoint presentation where the speaker used a
laptop connected to a projector.  The slides were shown on the large
screen as normal but there were speaker notes on the laptop screen
(these were not visible to the audience on the big screen).  He was
using a Mac computer.  Is it possible to use this feature within
powerpoint for windows XP.

Yes, you can use this Power Point feature in XP.

http://www.ehow.com/how_12129_add-speaker-notes.html

Go to the "view" menu and select "Notes Page".  This will allow you to
type the notes below the slide that you are currently on.  These notes
will not be shown in the slide show.

The second thing to do is make sure that your slide show displays on
your secondary monitor (being the projector).

Go to the "Slide Show" menu and select "Set Up Show".  Toward the
right side of that window you will need to set the "Display slide show
on:" to your second monitor, as apposed to your primary monitor.

Now when you run the slide show you will see the slide in full screen
on the secondary monitor and the slide and notes will show up on the
primary monitor within the powerpoint screen.  The notes display at
the bottom of the window.  You can make the box that they show up in
larger or smaller depending how many notes you have to display.

Let me know if this works for you.  I am using Office 2003.

Thanks!