This is normal. Your computer is using a SATA or RAID controller for the Hard drive configuration.
Windows XP does not recognize the SATA controller and as such you will need to install the drivers for the SATA controller. Visit the manufacturer's website and under support > drivers > your model of computer you will find a download section that will have the harddrisc controller drivers there. They will have to be downloaded and prepared for installation as a Boot CD or Boot Floppy. The directions for wich is there with the download.
Once you have the driver (XP version) prepared for installation then Boot to the xp installation cd and shortly after the boot to CD prompt come up there will be another prompt about installing scsi or 3rd party drivers use F6 key. Press the F6 key at that time and be prepared to insert the driver disc or floppy to install the drivers. Once installed then set-up will continue as it should!