Here are Microsoft's instructions for setting this thing up (
linkage) but the general rule is that you install the oldest OS and finish with the newest.  Your order was a bit off.  

  What happened is that the boot.ini file points to Windows 2000 an not to XP because it wasn't built to detect XP during the setup phase.  What you can do is boot into the Recovery Console for XP and run the bootcfg command.  This should rewrite the boot.ini.
Boot into the recovery console off of your CD.  I am lazy so I won't type any more here.  Read this help article MS put together for this situation:
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SYMPTOMS
After you install Windows XP on a computer that is configured for multiple booting, one of the installed operating systems may be missing from both the Startup menu and the Boot.ini file, which is the source of the Startup menu. As a result, you cannot start that operating system.
The computer has an existing installation of Windows XP, Microsoft Windows 2000, or Microsoft Windows NT, and also an existing installation of Microsoft Windows Millennium (Me), Microsoft Windows 98, or Microsoft Windows 95. 
RESOLUTION
To resolve this behavior, use one of the following methods to add the missing operating system to the Startup menu: 
Use the bootcfg /rebuild command in the Recovery Console.
Manually edit the Boot.ini file.
Use the 
Bootcfg /Rebuild Command in the Recovery Console
Note: If your hard disk does not have enough free space to install the Recovery Console, or if you do not want to install the Recovery Console, you can load the Recovery Console when you start the computer if the boot sequence in the computer BIOS is set to include CD-ROM functionality. Insert the Windows XP CD-ROM in the CD-ROM or DVD-ROM drive, and then press R at the "Welcome to Setup" screen. 
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Doing this will essentially have XP re-examine everything like it did during setup the first time and then will correctly configure the boot.ini.