Hello, and welcome to Bleepingcomputer.com, I will try my best to help you with this problem.
My understanding is that you just built your computer but you cannot get it too boot. Go into your BIOS (Either F2 or delete on boot-up which one your motherboard supports) and go to the boot-up options. Set the CD drive as the first boot device, then save and exit your BIOS.
Then, put the Windows XP DVD in the CD-drive and try booting up again. You should get a message stating "Press and button to boot from CD" Press which ever button you'd like and install the operating system. If you do not know how to do that heres a little guide:
1. Boot to CD using the guide shown.
2. Press F6 ( I think it is F6) to load a SATA or RAID driver from the floppy drive if you wish. ( You need the SATA driver if you have a SATA HDD)
3. After that format the hard drive into NTFS. Partition the hard drive how ever you'd like.
4. After the format it will automatically install the required windows files for installation.
5. The computer will restart. This is normal. Let it restart.
6. Do not boot from disk this time around. Do not take the disk out yet either.
7. The installer will automatically start and do its thing. It will ask you for the serial key time and date. After giving it the required information it should restart once more.
Then your good to go!