There's not really anything like that for a full computer. You can either get them one of those "leap frog" type machines, and some companies are producing educational games for PS2/XBox/GameCube.
Your only real option on a full computer is to set up a cheap e-machine or something, with Windows 95 or 98 and get a bunch of the educational software that's available. I say 95 or 98 because most of the educational software is so poorly coded, and wreaks havoc on NT based systems (even though they claim it works). Most of them are coded with a DOS backend in mind anyway.
If you want to stick with XP for the newer theme's (beyond just icons, colors and fonts like previous Windows versions), I'd recommend XP Home, again on a e-machine or some similar cheap PC that isn't going to be used by anyone else (ie: don't try to take a "family PC" and kid proof it, just get the kid a cheap PC of their own)
Easiest way to make sure they can't access the internet is to not have a modem/network card in the system. The other option is to keep the modem/network card in the system, but password protect the login, and make time to superivse them while they're using the computer. Make it part of your normal play-time, rather than using some obtrusive "net nanny" type bullshit. That way they can have the computer for playing games that you can play along with them, and they can use it as they get older for using the internet to do research for various homework assignments, and you don't have to worry about a "net nanny" program blocking a legitimate site that they may need to get to for whatever reason, which happens more often than not.
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