TheChronoRogue is absolutely correct. XP is NT based so go into your BIOS setup and under boot sequence put the CD first preferably.
Then restart the machine with the CD in and it should take you thru the entire process.
Should you encounter the problem that your BIOS setup or CD drive are not CD bootable compatable you will need to go to some place like
http://bootdisk.com and get the 6 floppy disk set for the version of XP that you have, in your case either XP Pro or XP Pro with SP1. To install XP this way you need to set your BIOS to boot first from floppy, put in the #1 XP floppy disk and at the prompts insert disks 2 - 6 and finally the CD. It will take you completely thru partitioning, formatting and installing the OS.