You need to use the Boot Camp Assistant (located in /Applications/Utilities) in order to install XP when you are in Leopard.
Sounds like you wiped over your OS X install, so you'll have to reinstall Leopard (hopefully that's a full install version and not the upgrade one), then use the Boot Camp Assistant to install XP.
Once you have both installed you can hold down the Option key at startup/reboot to pick which OS you want to run (or buy 3rd-party software like
Parallels to run XP while still on OS X).