You cannot create mirrored sets in XP. Not without an addon RAID card. There's a whole set of instructions about how to do it in XP's Help files, and then you get to this part:
"You can create mirrored volumes only on computers running Windows 2000 Server, Windows 2000 Advanced Server, or Windows 2000 Datacenter Server. "
Pretty sad joke that they let you get all that way only to pull the rug out from under you at the last minute. If anyone finds a way to mirror disks in XP, please let me know how. But according to M$, it can't be done.