It is telling you that you might need to go to your local walmart and buy a legit copy of WinXP. Once you do that, go into your bios and select boot from CDROM.
Stick in your WinXP CD you just bought and restart your system. Once that happens you will get a windows installation menu and it is easy enough to go from there.
If you want to save some money, Newegg has a really cheap OEM version for 150. It is the full version and not an upgrade. Just buy something cheap like a IDE cord for your hardware needs.