On XP Pro it *should* be automatically installed, have you tried Programs/Accessories/System Tools/Backup.
On XP Home
Insert your Windows XP CD into the drive and, if necessary, double-click the CD icon in My Computer.
On the Welcome to Microsoft Windows XP screen, click Perform Additional Tasks.
Click Browse this CD.
In Windows Explorer, double-click the ValueAdd folder, then Msft, and then Ntbackup.
Double-click Ntbackup.msi to install the Backup utility.