You have an install disc with XP/SP1. Download SP2 from Microsoft. Then follow the build instructions here:
http://www.helpwithwindows.com/Windo...p2-bootcd.html
FWIW, I have a 15" MacBook Pro with a Windows partition (created via Boot Camp, as I was not aware of the Parallels VM-ware when I did my setup), and I *love* this machine. Yes, you have to reboot to run Windows, but when you do, it runs just as you would expect it to. Also, the process where Boot Camp creates the correct Windows drivers for you and saves them to a CD could not be easier.
Enjoy your new computer.