How to restore Win Xp Pro to factory settings without cd?

"Restore' means the same thing as 'reinstall' or 'repair install'. The Windows installation CD is needed.

What do you mean by lost it? You can't get into Windows, or you can get into Windows but, you don't see the desktop, only the image? If the second one, then there is something wrong with your Explorer.exe file

If so, then click Alt+Ctrl+Del, and click File>New task Browse to C:\Windows and select Explorer.exe and run it/open it.
Can you see your desktop?  

One more question. Do you use any desktop themes? That can also cause some problems with the desktop...

If its a big OEM, might have a restore partition.