You can't burn a cd just by picking folders and files out of an installed windows directory.
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Speaking to the OEM in a loud and scary voice might get you a restore cd, but as someone else mentioned, partitions containing a compressed installation of the operating system are becoming increasingly common. If your box is like that, I wouldn't put money on you getting a copy of xp from them.
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Additionally, the woes of later reinstallation can be lessened by partitioning one's single hd into several 'logical drives' visible through My Computer as seperate harddrives.
Edited because the hand is quicker than the grammar.