Actually, the Greek letter Rho looks like the English letter P, not R.
I run Windows XP (Christ Professional)
Microsoft products are given codenames during development. The current trend is to name them after mountains (the next version of Windows is Longhorn, while the codename for Windows XP was Whistler) but once upon a time they were codenamed after cities, so Windows 95 was Chicago. The Windows NT codebase, which was integrated into Windows XP, was codenamed Cairo... which is where the name Windows XP comes from. XP, Chi-Rho, Cairo. Get it?
Not sure where Neptune came from.