Are you saying the time in your BIOS settings do not change...even after you change it then exit...saving your settings?
If the time in your BIOS is being displayed correctly, but not in Windows...and you've just replaced the CMOS battery...try going into your time settings and synchronizing the time with an Internet server. Disable your firewall before you do this. Firewalls have a tendency to prevent the synchronization process.
If you're certain the CMOS battery is new and seated properly and the time is not being displayed correctly in either BIOS or Windows XP, then I might suggest a BIOS update. However, please note...flashing the BIOS should only be done as a last resort.
What is the make and model of your computer?