It needs to be the same version and service pack you installed with. YOu will have to get updates to it soon after (if it works). If that was the CD that loaded Windows on your machine you will be fine. If you have an XP Home CD and XP Pro on the computer it won't work.
That message means your machine has to be set to boot from the CDROM first. When you restart the machine with the XP CD it should try to read it and you will see a message "Press any key to boot from CD". Press your any key and off you go.
If you do not see the message the boot order needs to be changed in the BIOS.
We won't go there unless you need it.