This is quite a common problem. The reason for this problem is that XP does not have any SATA drivers included with it, thus, the setup cannot detect the hard drive. To fix this problem, you will need to get into your BIOS and switch from SATA mode to an IDE emulation mode.
While in your BIOS, search for terms like "IDE" or "AHCI", the area you find terms like those is likely where you will be able to make a change to let your BIOS use legacy support.
Why? well the short version is that because there is no internal support for SATA with XP, the motherboard manufacturers started to include SATA emulation on the mobo to make XP installation easier. The alternative is to find a SATA driver for your hard drive, and then install it during setup. This is done at the time where you are asked to press F6 to install third party drivers.