You've run into a classic dilemma with Win XP, and there is an easy solution - well, two, actually.
The root of the problem is that up to Win XP, Windows by itself has a few "built-in" drivers for storage devices, like IDE hard drives, floppy drives and ATAPI optical drives. It does NOT know how to handle SATA drives by itself. But for long before Win XP it always had a way to deal with things like SCSI drives, etc, so the same system is suitable for SATA drives. It requires that you prepare for the initial installation by connecting a floppy drive to your machine (at least temporarily), and writing the required SATA driver(s) to a floppy disk using another machine. The SATA driver will be on a CD that came with your system or mobo. Read your manual to see details of all this.
At the beginning of the Windows Install process you will see a screen prompt that you should press the "F6" key if you want to install drivers. If you ignore it it will go away and proceed. But if you press F6 you get to follow prompts to load the drivers from a floppy drive before proceeding. NOTE that Win XP can only use a floppy drive for this purpose. If you do this, the drivers become a permanent part of Win XP in this machine and it will load and use them always, giving it access to the device (in this case, a SATA drive unit) for all functions, including installing the OS now and booting from it for all future work. Then you can complete the rest of the Install.
Now, as Win XP and SATA drives were introduced a decade ago, there also was a trend to stop using floppy drives, so many people could not do this. To solve that problem, mobo makers added a feature to their BIOS's. In the place where you configure and enable the SATA ports, there is also a place where you set those ports' mode. The choices may include: IDE (or PATA) Emulation, native SATA, AHCI, or RAID. You don't need RAID for most systems. Native SATA really is more like AHCI, so using it in AHCI mode is better. BUT all of those three require the installation of the driver using the F6 procedure above. The IDE (or PATA) Emulation mode is the simple solution. Choose that and the BIOS makes that real SATA device appear to Windows to be just a plain old IDE drive that it already understands and has "built-in drivers" for, so everything just works smoothly. However, in doing this you lose some of the advanced features of SATA and AHCI devices; to some people, this is no big deal anyway.
So if you set your SATA drive's port mode to IDE Emulation you will have no trouble. Alternatively, if you want to take full advantage of AHCI mode, arrange to install the required drivers from a floppy drive during the initial Install process.
Windows Vista and Win 7 both have drivers for SATA and AHCI devices "built in" so they don't have this problem. Those more recent OS's also allowed loading drivers from CD's and USB memory sticks, a benefit to RAID users who do not have floppy drives.
Bearing in mind what you have done already (installed unbutu successfully), you probably have an extra step assuming you do NOT want to keep unbutu AND Win XP both on this machine. Relatively early in the Install process, once you have access to the SATA drive (either route above) you should look carefully at the screen prompts and find the choice to Delete any existing Partition it finds on the HDD. Get rid of any you find, one at a time. THEN, starting from an empty HDD, do your Installation of XP. The process will begin by Creating a bootable first Primary Partition for you on this now-empty disk, Formatting it, and copying to it all the files required.
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