To set up Boot Camp, you need the proper ingredients (plus an Intel-based Mac, which, since you have Lion, you obviously have):
A copy of Windows 7. That’s right: The Lion version of Boot Camp no longer works with Windows XP or Windows Vista—only the Home Premium, Business, or Ultimate editions of Windows 7.
If you really want to install one of those older Windows versions, you can still do it. One way is to use the Snow Leopard version of Boot Camp. You should be able to find the (unauthorized) instructions with a quick Google search.
Another way: Partition the disk as you’d like with the Boot Camp Utility, as directed in Phase 2 below, and then skip the rest of the Lion Boot Camp instructions. Put in your Windows XP Install CD. Restart your Mac while pressing the Option key until you see the “boot menu” screen. Start up into the Windows XP Install CD, and install Windows XP as usual. When it’s over, insert your old Snow Leopard DVD to install the necessary Mac drivers.
You need a full-installation copy of Windows—not just an upgrade version. (You can install either the 32-bit version of Windows or the 64-bit version.)