BIOS = Basic Input/Output System. I'm not going to vividly explain it...google it if you want to. What IrishNinjaX is referring to is right when you start your computer, hold DEL (sometimes F1, F2, or other - see your motherboard manual for details) to enter the BIOS setup. You can do a lot of stuff in here, but all you want to do is make your CD-ROM your first boot Priority. If memory serves me right, it's in "Advanced BIOS Options" (or something to that effect).
Now, you can format with a floppy diskette too. Go to www.bootdisk.com
and download a boot utility and then put it on a floppy disk and boot off it.
You should get an MS-DOS screen where you can type commands, you'd type FORMAT C: (where C: is the drive letter that you want to format). You can also type FDISK and create/delete partitions. I believe you can only make FAT32 partitions this way, so it's better/easier to just boot off the WINXP cd like IrishNinjaX said.