I'm afraid you cannot install SharePoint on the Windows XP Pro OS. You must have an MS Server OS. You could use a VM if you like.

Once you get a server OS going, you can install the free version of SharePoint, WSS or WFS (depending on which server OS you get)

If you install the 2k3 server, you can use WSS (Windows SharePoint Services) 3.0.

For 2k8, you can use WFS (Windows Foundation Server).

WFS or WSS are free with your server license.

You can run run SharePoint 2010 on a Windows 7 x64 or Windows Server 2008 x64.
msdn.microsoft.com/en-us/library/ee554869.aspx

For SharePoint 2007 you can run Windows Server 2003 SP2 or newer.
sharepoint2009.blogspot.com/.../...-moss-2007.html