The OEM version of Windows is not officially supported. However, there are ways to make it work. The reason it doesn't work is because the OEM version of Windows assumes your hard drive is already pre-formatted and bootable for Windows. The Boot Camp assistant will partition and format your internal drive for Windows, but it is not bootable for Windows. That is why the OEM version won't work. See this thread for instructions on how to make the OEM version work:
http://discussions.apple.com/thread.jspa?threadID=2071417&tstart=195
The full retail version of Windows will scan the Boot Camp partition and determine that it is not bootable, and will prompt you to reformat the partition. The OEM version will not do this. Following the steps in the thread above, you will be able to enter the recovery console and give the DOS command to format the partition and make it bootable. When the Windows installer runs again from the beginning, the partition will now be bootable and the Windows installer will run as expected. Make sure you choose the CORRECT partition, which should be the C: drive. You don't want to choose the wrong drive by mistake and erase your Mac OS X partition. Windows XP SP3 also requires Boot Camp 2.1 drivers. Go to Apple's download area in the support section and download the Boot Camp 2.1 drivers for your particular version of Windows. Burn that to a CD so you can install the latest drivers.