To install correctly, I had to Shift+Right Click on the VirtualWindowsXP.msi, and click Run as a different user.
Once it is installed, clicking on Start>Programs>Windows Virtual PC>Virtual Windows XP will bring up this window.
And after some time, we’ve got XP in the virtual machine.
A differencing disk is used. If your computer has several users using XP mode, this could turn out to be a substantial saving on disk space, since only changes to the base XP image is saved in the each user’s virtual hard disk.