I would suggest keeping Vista and setting up a dual boot with XP. Like it or not, Vista is the newest OS and will only get better; besides, you've already paid for it! (Do you have at least 2 GB of RAM? Vista is most unsatisfactory with less.) A lot of people didn't like XP until SP2. But, as you suspect, I guarantee you that today, XP will speed up your computer in virtually everything that you do. But, if you have at least 2 GB or of RAM already, the difference might not be startling.
First, whether you are going to set up a dual boot or not, it is essential that you make a set of Vista Recovery Disks per the HP directions. Installing a new OS, whether as a dual boot or on top of an existing one (in place of), is not a frivolous activity. Probability is much >0 that the computer is rendered inoperable and you want an easy bailout position!
Second, IT IS ESSENTIAL that you verify that HP has XP drivers for your system - if yours is a very new system they may not have XP drivers. Go to their forum, look around for your EXACT model and ask questions.
Third, if you go the dual boot option, google "dual boot Vista and XP" and review the many 'how to' articles.
Fourth, if you have done your homework, and verified that XP drivers exist for you motherboard and all other hardware, the methodology is pretty straightforward: a) make a partition for the new OS, b) install the new OS into that partition*, c) install XP drivers, d) since you'll be installing XP after Vista, get Vista Boot Pro to straighten out your boot options.
Five, enjoy BOTH OS's!
EDIT: *You probably have a SATA hard drive - be sure to read up about installing SATA drivers when installing XP before you begin. The XP SATA drivers need to be loaded very early in the XP install procedure.