Maybe a silly question LS but you do have a SATA hdd drive..right?
If you try to connect your psu sata connectors to your mobo sata ports they won't fit even if they did it would be a reciepe for disaster!
You need to connect your psu sata connectors to your sata hdd and your sata hdd cable to the motherboard sata ports.
Sorry if this sounds a bit simple but you havn't actually mentioned you have a sata hdd drive?if so do the following for xp to reconize it.

Firstly you need to format xp,hit F6 straight after being prompted to"hit any key to boot from cd",wait for xp to go through installation routine you'll then be prompted to insert a floppy(sata drivers which should come with your mobo if not download them from the manufacturers website and copy to floppy/read the readme file)windows will access the floppy and install the relevent drivers to recognize your hdd you'll then be prompted to hit return to carry on with your xp install as normal.

If you have xp with sp2 slipstreamed more than likely you wont need to do the above as windows will reconize you hdd without having to mess about with floppys...just install xp as normal.
GL