Had the same problem - Timestamps are recorded differently in NTFS then they are in FAT: http://support.microsoft.com/kb/127830. So after your first sync everything will get copied over but on the FAT drive it will think that it's a couple of seconds older or newer on the second sync.
Chances are if you have bought a removable hard disk it is probably formatted in FAT and your XP computer is formatted in NTFS. To fix it you need to run Convert driveletter: /FS:NTFS on the removeable/FAT disk, and then delete the sync and recreate it. Should work fine from then on.