The Windows cd is not able to read Linux partitions, so it thinks that there is no usable hard drive on the system.
If you installed Linux and allowed it to take over the hard drive, then this is the issue.
Reformat your hard drive, making the hard drive either fat32 or NTFS and install XP.
But, let's be clear on what you are doing. Was this a stock install of Windows XP, or are you using just Windows XP on this system. In other words, is the XP disk the one included from Dell, or your own full copy of Windows XP.
If this system originally had the Dell install of XP, then the partition structure is a little different on your system. Dell often has a small hidden partition on the first part of the hard drive, that holds recovery data, along with some other information.
In either case, if you no longer have XP on the system, either use the Dell recovery disks, or your full copy of XP to do a reinstall of XP. Then install Linux and follow the grub instructions provided by last post.