No the CD needs to be left in for the next step. It should look like this:
This is the 2nd stage of the XP Setup. It is after it copies the files but before it can boot on its own. I must setup the network, profiles and such.
If it reboots before this stage then there is something wrong. Maybe it isnt copying the files over or the BIOS needs to be setup to allow for the HDD to boot before the CD DROM. Also could just be you need to make sure you ahve the Hard Drive in the boot process.