Yeah, I thought that is the only way too. I use to remember an old MS-DOS way of formating a computer, but who uses that anymore.
So I have two hard drives, one has nothing and the other has my old computer setting. When I tried to format my other HD with nothing on it, it couldn't find the HD during the setup of XP. So I just plugged in my other HD with stuff on it already. With this HD, I just wanted to start out a clean slate. For some reason it just won't boot from CD. It just open XP right off the back and with all of my old computer settings. I found it kinda odd for it to do something like that. The other funny thing is that it won't give me a prompt to 'boot from disc'. Unless I gotta be quick. I'm going to check my bios about the booting sequence. I figure that if it boot from CD in my HD that has nothing on it, it will do it on the one that has stuff in there automatic (with a prompt of course). That's how my old computer worked.
Oh yeah, just to let you know that I have a neato MSI micro board. At least it worked for me, that's all I'm happy with.