I've never done it in XP, but in Win2k you do it through the Disk Management app. Been a long time, but I do remember that you can't use your primary partition for it, and what you do is use Ctrl + click to highlight the partitions you want to put into RAID, right click, and select it.
IIRC, it's called a stripe set in Win2k, not RAID. Also, I believe you have to convert the partitions to dynamic disks, but it's been so long that I can't be sure I'm 100% accurate on all this.