I know Mandrake 9.1 acts smart by installing lilo to the MBR regardless of what you choose, but not sure of 9.2.
However, a quick fix to your predicament would be to boot from a Win98 CD/boot disk and get on a DOS prompt. Run fdisk /mbr
and lilo should be gone from your MBR and you can start XP as normal.
After that, take a look at bootpart