Never heard of Lego Rocket Racers myself, but i don't tend to go for Lego games as a rule

XP is going to be pretty limiting for a few reasons, the main one being that it can't run Teknoparrot and other up-to-date emulators. You might do better finding the game first if you can, and then seeing what sort of hardware/OS you can get it to run on. Try compatibility modes for XP, for example, or a wrapper like DGVoodoo, or even running the game in a Virtual Machine (VM software is very easy, these days). I would really focus on those methods first, and limiting yourself to actual XP as a very last resort.
You can look for an older wheel like a G25 - that will run on XP, i believe - or maybe a G27. They'll still work fine on Win10 as well. Not as flash as something new, maybe, but will be cheap and will come with pedals and a shifter. I'd look at building a quick and dirty setup around something like that first, maybe even running everything in bits for a while if you're dipping your toe in and not quite sure what you want.
After that you can really spend as much money as you want. There are ways to interface a Logitech Driving Force GT to genuine Sega Model 2 cab controls - like from a Daytona or Sega Rally setup - and that would work on XP, i believe, though i'm not sure about the update:
http://forum.arcadecontrols.com/index.php?topic=160169.0There are also way to integrate other original driving cabs setups like MMOS FFB and arduino projects, or even scratch-built setups for ppl who want that. There's a nice, recent build thread here -
http://forum.arcadecontrols.com/index.php/topic,159162.0.html