There are two ways to set up a RAID drive in Windows XP. One is using dynamic disks and setting up a software RAID. I personally have never done this as I always use a hardware RAID solution. There is a guide at http://www.techimo.com/articles/index.pl?photo=149 that lays this out pretty well.
There are two parts to setting up hardware RAID: one is to install the appropriate drivers in Windows to know how to talk to the RAID drive we are about to set up and the second is to set up the hardware itself.
For the first part, you need to know what kind of RAID hardware you have and install the drivers for it. Let's assume you have a motherboard that supports RAID 0 and 1 (and perhaps more types of RAID) on SATA ports. Further, the motherboard has an Nvidia 6420 SATA RAID controller. Go to either NVidia and download the chipset drivers for the 6420 or go to the motherboard manufacturer and download the same from there. Install the drivers so that Windows XP will know what to do with the RAID drive once it appears.
For the second part, the hardware, we're assuming you have a motherboard with built-in RAID support, which most recent motherboards have. Alternatively, you can buy and install an add-on RAID card.
You need two drives, of course, and they should be of the same size. They do not have to be made by the same manufacturer, run at the same speed, and strictly-speaking they don't even have to be of the same size. If they are not the same size, when that RAID array is set up for mirroring, the size used for the mirror will be the smaller of the two.
Let's assume you have two identical drives. Each drive should be connected its own channel on the motherboard. With SATA, that's a given, whereas with IDE, two drives could be on the same cable to the same motherboard channel. (In the case of IDE, the drives should be attached to different cables to different PATA connection on the motherboard. The RAID array can still be set up if they are not, but performance will suffer somewhat.)
Let's call the two drives "disk1" and "disk2." We choose disk1 to be the one that has the majority of the files, Before establishing the RAID array, copy all the files from disk2 to disk 1. Disk1 will be the "master" drive in the new RAID.
The next step is to bring the two drives into a RAID array. Let's assume we have connected disk1, the master, to SATA connector 3 on the motherboard and disk2 to connector 4. For most motherboards, you will need to go into BIOS and turn on RAID support. Additionally, once the BIOS RAID support is turned on, you will also need to designate which drives attached to your system will be handled by the RAID controller. In our case, this would be SATA drive 3 and SATA drive 4. Generally, this is all we do here. Enable the RAID controller and reserve some drives for the RAID controller's use. Save the BIOS changes and reboot.
Assuming the RAID controller had not been enabled previously, you will likely see a new message at boot time to the effect of how to enter the RAID setup. In my case, it's by hitting F10. If I hit F10 when prompted to, a special menu comes up (that looks similar to the BIOS menus). This menu will let me create a new array by specifying the disks to be used and the type of array (RAID 0, 1, 5, 0+1, etc) is desired.
There should be a menu option to create a new RAID array. Do so, indicating that you wish to establish a RAID 1 array (may also be called Mirroring or Security). Add the two drives to the array - disk1 and disk2 on SATA3 and SATA4 in that order. Make sure the "master" drive (disk1) attached to SATA 3 is set as the master in the array and the drive attached to SATA 4 (disk2) as the slave. Once the new RAID setup is saved, you will generally be prompted to copy the one of the drives to the other to set up the initial mirror. Do this now making sure you copy the master to the slave.
Once this finishes (and it will take a good while on large drives), the RAID 1 array is setup and ready to go. Reboot (or continue booting) into Windows XP. Windows should discover the new array. It will treat the RAID 1 array as a single drive in all matters. (You can partition the drive if you wish and the partitions will be identical on both drives in the mirror.) That should be all you need to do. Good luck.