When you use the Windows XP CD-ROM to install Windows XP, the Setup program restarts your computer. During the restart, the computer's BIOS sends a press any key to boot from the CD message. If you press a key, the Windows XP installation starts from the beginning.
This is expected behavior.
To workaround this behavior, DO NOT press a key when Windows XP Setup restarts your computer.
NOTE: You can remove the Windows XP CD-ROM when Setup restarts your computer. This will prevent the BIOS from detecting bootable media and issuing the prompt.