I just want to develop some Java and Python applications on Windows XP. Which version should I be using:
Eclipse IDE for Java Developers - simply made for Java developers. If you develop standalone or similar applications, this is your choice
Eclipse Classic - also has modules to develop Java applications, but also provides different other plugins (extra plugins, which may be unrelated to Java)
Eclipse IDE for Java EE Developers - if you are going to develop dynamic web applications with help of Java, this is what you need.
Make your choice, then in Eclipse go to "Help/Eclipse Marketplace...", type there "python" and on the top you will see PyDev (already mentioned by @cschol), click install :) Using Marketplace you can find other plugins you need for work (just tell it because new Eclipse MArketplace seems to be less known feature of Eclipse Helios platform)