The Bacula documentation is good, but given the complex and interdependent nature of the backup problem, it's pretty overwhelming at first.
One thing that's not immediately obvious is where the configuration files are. The bacula-fd.conf file for Windows XP clients is at C:\Documents and Settings\All Users\bacula\bacula-fd.conf. On Ubuntu using the packages installed from universe, the configuration files are in /etc/bacula.
If you get errors that the server can't connect to the client, make sure the director definition in the client's bacula-fd.conf allows the director to connect, and that the client's password matches the server's password in the client resource of /etc/bacula/bacula-dir.conf. There's a helpful picture of what you need to do in the Bacula documentation.