What ClippyBeer said...I couldn't put it any better.
The best way to do it is to install the retail copy, make sure it's properly activated, and install the drivers/programs & apply tweaks. However, there is ONE unofficial version I do recommend, and it's the 'Integral Edition' (which gets updated each month and got its most recent update on March 16). VERY impressive in terms of everything that comes with the ISO/customized files.
I also loved the old 'Performance Edition' (which got its final update in November 2010 and still works a treat on virtually every PC I've tried installing it on). In general, most unofficial versions of XP are garbage...only the 'Integral' and 'Performance' editions have worked well for me.