Hmm! I have looked on the Dell Support Site (it takes me to the UK version) but there does not seem to be a download of the OEM disk or a means of ordering one.
In my case, I purchased some used Latitude D620s from a client who had installed a clean licensed version of Windows XP Professional SP3 before disposing of the laptops. They did not supply the Dell OEM disks probably because they don't have them but instead I suspect that they use an image of the original build that the machines were supplied with.
You'll have to call them to get XP disks for the system, and they may not even supply them anymore. There are also many Dell OEM disks that people sell on ebay, just don't use the codes they supply as many are not valid. The disks should be fine to use though.