If you are talking vulnerability scanner I would use Nessus, if you are just wanting to port scan I would use nmap. 

Foundstone has a pretty big list of free tools for you to use as well.  I use GFI and it is pretty good although it is a commercial scanner.  Nessus has been ported over to windows if you download nessus 3 from www.nessus.org you can run it on xp.  I think it is the best vulnerability scanner there is free or commercial just my opinion.  Nmap will run on windows also.  One thing I would recommend is to try and learn these tools on linux as they will allow you to learn that os which is far superior for hacking, or try a bootable linux distro such as backtrack which will already have those tools on it.  You can find alot of tools on windows but the assortment of tools for linux is far greater, and most of them are free which is a bonus (sorry to get off topic).