Squirrelfire,
Check at the support pages for you make and model of UMPC. No doubt you are not the only one who has had this requirement, so see what others have done.
My guess is that it will turn out you have a hidden recovery partition on your hard disk drive. Or you may have to use an external CD drive that connects via USB. A clumsier method that I hope you don't have to resort to would be to prepare a bootable network flash drive that has your UMPC's NIC drivers on it, then connect over the network to a share that contains the contents of the XP installation CD.