This is how alt-tabbing works on modern Windows as well, so I'm not sure why you've singled out XP. It wasn't the earliest one to implement it either - I'm pretty sure 2000 did it.

I don't have my macOS device on hand right now, but I'm almost certain that the AltTab app replicates that behavior. Or, at the very least, it throws out the incredibly annoying obsession that macOS has on separating switching between applications and switching between windows of one application.