How recent is you're hardware? Windows XP is quite old and might not have the required drivers to be able to see and use your current drive controller, during setup at the beginning you can usually press F6 then S (i think) to load additional drivers and allow windows to search for drivers that will match your hardware (usually from floppy, I'm not sure but it might also work on usb)
Check this guide for some more precise instructions :
http://www.buildeasypc.com/sw/windows_xp.htm
Also, check your bios, make sure your sata controller is set to ATA, not AHCI. Otherwise the computer might not see the drive when trying to install XP in some cases.