First, welcome to linux! I hope you find it as enjoyable as I do.
Second, this is the Linux from Scratch forum, which is related to a specialized project of, you guessed it, creating your own linux distribution (collection of programs) from scratch. So this should be moved to a different forum, probably Newbie.
Third, here's a
review of Linux XP that might help you install it. Since it says it's red hat based, I assume you put it in the drive and reboot your machine. Do you have one hard drive or two? Ideally, you would want to put this on it's own drive so you don't hose up your windows partition. But if you only have one drive, you'll have to resize the windows partition to make this work.
Third, if all this seems too complicated, I would start with Ubuntu or Knoppix. You can download one of these LiveCDs and try it out without touching your XP install (they're both free as in free beer and free as in freedom). Then you can get familiar with linux and comfortable with the naming schemes of partitions and everything else.
Then when you're ready, you can repartition your drive and install LinuxXP. Personally, I use the
GParted Live CD to partition (also free). Just be sure to run defrag in windows xp first.