That is not how XPe is used. You do not run it as a process under XP, it is an OS all on its own. However, you cannot just install it. You build the image in the Target Designer
] and then deploy the image.
The whole thing is not a simple process. You really need to read up on this - Microsoft used to offer a training course, but I think they have dropped that since XPe has been replaced by the Windows 7 version (I cannot remember the name of that product at the moment), which again is slated to be replaced by the Windows 8 version sometime soon.
The good news is that with the newer versions, the process of creating the image is supposed to be significantly simpler. Still, you should make sure you really, really have to go down this road before you commit to it.