You will have to go into your bios and set the first boot device to your hdd and then floppy, then cd-rom.
He shouldn't have to set the boot sequence to IDE-0....he should be able to boot up just fine without having to put in the WinXP CD or changing the boot sequence. It's simply supposed to go past the CD-ROM and floppy if nothing is in there, but I usually change it to IDE-0 first just to save those precious nanoseconds.
Did you install your new parts THEN do a fresh format and install of the hard drive? Because if you didn't do that, then you should have to give all the new components a fresh drive with drivers and all that good stuff, don't want any conflicts with these things.
Demalii is probably right about what your multi and FSB should be. But generally the multi is picked up automatically and the FSB is by default at 100 when installing a new mobo or CPU. So it could be that you are at 10x100 = 1Ghz and it needs to be 10x166=1.6GHz.
Yup just did a quick look and your CPU is 333MHz FSB so your multiplier is probably defaulted at 10. Go into your BIOS and change your Clock Frequency to 166 and make sure your multi is indeed at 10 before you save your settings and restart.