Be nice if you were more specific when you say "set up" but I will try to answer as best I can.
Installation
Insert the HDD into your case as per your cases instructions. This will most likely mean screwing it into a free 3.5" bay. Next plug in the sata cable into the motherboard and in the back of the HDD. Next is the power lead. Depending on your PSU you may have a choice. Either a SATA power connector or a molex power connector. You can use either, but
only one of them. Molex is a 4 pin plug, Sata is an L-shaped plug.
Using the drive
You have two options here. You can just install Windows as normal, and if you have a SP2 version of XP you shouldn't have to install SATA drivers.
If you have problems during setup, or you dont have an SP2 XP disc, you will need to get a floppy disk, USB stick or CD with SATA drivers for your motherboard. At the start of the Windows setup you are prompted to press F6 to install additional drivers. Wack F6 and follow the instructions. Once it has taken the drivers off the disk, setup should continue as normal.
If this didnt answer your question, be more specific
SiriusB