XP Mode is just a VM that runs on top of the MS Virtual PC hypervisor (software that manages the VM and virtualises the hardware). VirtualBox and VMware are both hypervisors as well, but aren't integrated into the OS as much as Virtual PC is. VirtualBox is a better option than VMware IMO if you need to create a VM from scratch rather than use a pre-existing one. You can get it here: http://www.virtualbox.org/wiki/Downloads
The creation of a VM is pretty straight forward (set up disk space, RAM, number of CPU cores etc) but you'll need to have an XP DVD or ISO to install it.