In the title of your post, you said you have Office 2003. Yet, in the body of your post, you said you have Office XP. So, which one do you REALLY have installed?
If you really have Office 2003 and if the proofing tools are asking for the Office XP CD, you are attempting to install proofing tools of an older suite of programs.
If you really do NOT have Office 2003, you need to supply the CD that it's asking for, or you will never get it installed.
Windows XP is an operating system.
Office XP, otherwise known as Office 2002, is a suite of programs that run on the operating system.
The two are entirely different programs.