"Mobile Pentium 4" predates the Centrion, AFAIK. So the wireless will be some other device.
If XP keeps telling you to 'turn the radio on' that probably means it can see it. That's good. But if, as you say, that doesn't work, then I'd be looking in the BIOS for some sort of override.
I think getting into the BIOS on VAIOs involves Alt+F2 at the 'SONY' prompt.
Wade.