There are various reasons this could be happening, but there are a couple questions we would need answered first.
1. Is this computer part of a domain or a workgroup?
If this computer is part of a domain, then it will most likely be pulling time from a network time server which will change the time back to its original setting about every 3 minutes or so. If the computer is part of a workgroup instead, the answer would most likely be tied to the answer for question number two.
2. Are you changing the time in the BIOS or in Windows XP itself?
If you are changing the time in Windows, but the BIOS is set to a different time, then it is possible that this could be the cause. You will want to make sure that the time in the BIOS is set correctly first, before trying to set the time in Windows.