Windows XP is fine. I am learning Python on Windows first with an eye toward moving to Linux.
If you like, get the ActivePython distribution, which comes with the Win32 extensions. If you start liking Python, consider adding the IPython shell. There are commandline tweaks you can do to make the XP commandline bearable, in fact, I found them on this forum, so perhaps search on XP commandline. Good luck, rd -- http://mail.python.org/mailman/listinfo/python-list