The advice you were given that you should have installed SP2 first was ridiculously wrong. You can't install a service pack until you've installed Windows. The problem you are having is caused by the fact that the version of Windows you currently have installed is newer than the version on the DVD.
The solution may be to delete the existing Windows partition and then install Windows afresh. The newer version will have gone so you shouldn't get asked for a CD you don't have.
If your Windows DVD is a 'proper' microsoft installation disc (ie not an HP recovery disc) you can delete the partition with that DVD when setup starts. Setup will detect and display the current Windows installation. Highlight it and select "delete partition". Then install fresh copy of windows on the "unallocated space" (this is where the old Windows installation used to be). After Windows is re-installed you can then (optionally) install the latest service pack for XP-MCE 2005.
Edited by pip22, 11 January 2009 - 08:47 PM.