Just some random screenshots:

Here we have an OEM version of WinXP letting us know we can't upgrade:

Here's the first setup screen:

Here we have the License Agreement:

The next screen where you enter the key is different depending on what version (retail, volume license, or OEM) of XP you have. Here it is for OEM:

And for Retail:

And lastly for Volume License:

Want to see how this was done? Check out http://www.thetechguide.com/howto/setuppini.html.