Yeah if it was a retail / upgrade copy you just need the CD and you can use your existing key to activate it.
Unfortunately most people are rather screwed in the situation below instead.
If it is OEM factory installed, you may never GET a CD, or may have great difficulty in getting a replacement CD, or if you do have a CD you may find that it is hopelessly obsolete / full of crapware not a "real" XP install disc, can't be slipstreamed with SP3, and you'll find that you can't use any OTHER (real normal XP install) CD (e.g. a retail/OEM XP + SP3 CD) to install and activate from using your key even though you're licensed for the OS.
Basically people with OEM / preinstalled Windows are usually just victims and are getting massively screwed by the whole install media / CD fiasco. You ought to be able to use any Microsoft XP CD to install XP (without crapware) and then activate with your existing key,
and then pull any hardware specific drivers / utilities as update downloads. You can't.