Set up separate iTunes accounts

See if this helps: How to set up an iTunes Store account

I would like to see if you have some advice for me on the same subject but for PC Win XP. I now have two new ipod (1 for each child), and the older nano that will be used by my wife. So how would I do the three accounts or library

There are several different ways to use two iPods with one computer, have a look at this help page for suggestions: How to use multiple iPods with one computer

You don't need a separate store account for each person by the way unless you particularly feel the need to segregate the purchases. You can set up one account and load songs from it onto any or all of the iPods (though you may want only one person, yourself for example, to hold the password and control the purchases).