If you really need to do it you may find if easier to download this...
http://www.hiren.info/pages/bootcd
and
http://unetbootin.sourceforge.net/
Use unetbootin to create a bootable usb stick from the ISO on the first link, then boot from that and select mini windowsXP
It will give you a very cut down version of XP that will boot easily from a USB memory stick.
If you want some of the more advanced parts of XP then this way will be no good, but if you only need the basic XP framework this might be good enough.