Newly assembled PC not booting (not booted even for once) ASAP

I currently reside in New-Delhi, INDIA
I won a Gigabyte GA-X58A-UD3R (rev.2.0) which was shipped from Taiwan to me through DHL in August 2010. So therefore I am not having any PURCHASE BILL . Can DHL shipment papers be a good proof for 'date of purchase' to get my motherboard repaired in warranty?

Now the main query :-

CPU : Intel Core i7-950 (3.06GHz)
CPU Cooler : Cooler Master N620
Motherboard : Gigabyte GA-X58A-UD3R
Ram : Kingston 3x2GB DDR3 1333MHz CL9
GPU : Zotac GTX 460 1GB (SKU ZT-40402-10P)
HDD : Seagate Barracuda XT (2TB) SATA
PSU : Cooler Master Extreme Series 600W
Case : Cooler Master HAF922
Keyboard & Mice : Logitech K350 & M310
Monitor : BenQ E2420HD (24")

I have an original Windows-XP Professional SP2 installation CD (successfully been used on other computers).
(This is the first time the motherboard and each and every other component is going to be used).
When I try to install from it, it copies all the files to the Hard Disk and then installs the windows from there. When it reads Hard Disk (for installation), it says file missing ( corresponds to different-different files since sometimes different files show error, but once at a time). More generally it says "NTFS.SYS" missing.
Then, I tried installing Windows-7 Enterprise, but first it refused to detect Hard Disk and then on trying it again (from starting), it detected it this time but had some problem copying some file. Then after that, my Hard Disk is sometimes not detected (around 7/10 times not detected).
I have another Hard Disk (PATA) of another computer on which Windows-XP-PRO-SP3 and Windows-7-Enterprise are (both) installed. I plugged that Hard Disk in IDE port and power it up. Then when I booted my PC using it, just after selecting the OS (2 OS's installed) a blue screen is flashed for a fraction of second and the computer reboots. Please tell me what is the problem with it.
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More about newly assembled booting booted once help asap
  1. I've heard that dual boot systems are nothing but problems when you are using XP and Windows 7 together. Good luck.
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