How to install Windows XP

I attended a Microsoft event and received a copy of Windows XP. I set up a new system with a 40 GB HDD Celeron 900. i formated the HDD with a 98SE disk and went to load XP. I cant seem to find how to set it up. When I run setup from the cd rom with the XP disk it says this program cant be run in dos. this is only going to be a test system to try out XP so it is not a super system. It does have 256MD RAM mode. Any help.
Thanks