You have a good gripe there, but you are getting a copy of XP. It's just bundled on that CD. It's perfectly legal for them to do it that way. It actually saves them money because they just copy it from a server and mass produce the CDs. They buy many licenses and use the same OEM copy of XP.
Being an OEM system builder myself, I give the actual OEM CD. I could take the time and create a recovery CD, but I figure I'll keep more customers if I give them more control of what they want.
You will probably fair better by looking for an OEM XP CD at a retailer.
I recommend
MWave.com
You'll have to buy a piece of hardware since it's OEM, but that can be anything of little value.
Now to your application question. You should have a directory somewhere with a lot of .ZIP files or .CAB files. If you're lucky, there's a .TXT file as well that lists what each .zip or .cab file is. If not, you'll have to go through each one of them.
If you can't find anything on the CD, look on the recovery partition of your HDD.