I don't believe MobileMe actually does OTA photo syncing yet.
You can upload your photos from XP to the cloud, but they won't go from the cloud to the iPhone Photo App. To do that, you'll still have to sync with iTunes.
However, if you go to me.com with your iPhone's browser, you'll get an optimized version of your online photos.
That's weak tea, but the best they provide -- to my knowledge -- right now.