XP mode is really a bad name because it implies that it is an independent program. Virtual PC has been around awhile and all XP mode is is a Microsoft supplied license/copy of XP that is used with VPC. To get to XP mode, assuming you have installed both downloads per the site instructions, you need to start Virtual PC, then select to preconfigured XP install within it.
Note: You can still use Virtual PC as if you installed it without XP. Its a good way to use Win98 if you have some really old software you want to try out, or if you want to experiment with linux. There is absolutely no 3D support in Virtual PC yet, in case you were thinking of using it with games.