Guessing that it's OEM software?
These are cut price versions, minus the box, support and manuals, that are sold to Original Equipment Manufacturers.
There is no real drawbacks except if anything goes wrong you have to help your self. Also Windows and Office versions that have product activation will be tied to that machine forever, you won't be able to put them on a new machine if your old one dies.
A few questions though (your not the only cautious Scot round here!)
Are you getting the actual Windows XP pro disk?
Most OEM products have to be sold with a hard drive or similar "essential" PC component to qualify to sell OEM software to customers.
On the other hand if you are getting a hard drive with XP pro loaded onto the hard disk and no actual Windows CD avoid like the plague!!
If you are getting the disk then you don't have to put the component in as well for it to work.
As an example I bought an OEM copy of Windows XP pro for my laptop. It came with a Hard drive that was a wapping 250 MB in size, not much use eh? Aside from the fact I cannot use the HD in a laptop it had to be sold as part of the deal to sell an OEM bit of software.
One last tip, if your planing on getting a larger hard drive now would be a very good time to do it as yo'll have trouble (if not impossibilties) moving an OEM copy of Windows XP pro from your current disk to a new one.
Hope this has been useful, thought sorry it's gibbered on for a bit.