Could be Remote Access related....I am guessing you have set up the OS and hardware to Wake on Lan type settings that would actually turn the PC "On" should it recieve an incomming signal? If this is not entirely neccesary for you then I would turn all that stuff straight the way back off!!
If you are interested in making Windows XP a slightly safer place you can tweak the "services" and disable "Remote Access" altogether. Do a websearch for BlackVipers site where he discusses exactly that.
I think I have also recently read somewhere about a "haunted" power supply that had a similar issue, but that may have been a halloween joke, or a dream.

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I shall have a look around and see if I can find it again and get back to you.