Hi,
I was in your situation - bought my 11 inch Macbook Air last month, and wanted to install Windows XP because I have two statistical software programs that only run in Windows. For all of my other needs I prefer OSX. So, the first question is, are you planning to use Windows XP sparingly, or do you want to do more intensive tasks with it, such as gaming?
* If you want to use it for a bunch of tasks, especially gaming, then I would advise installing Windows 7 via Bootcamp. That way you're not splitting your RAM and processor usage. And because XP isn't supported, as pointed out.
* However, if you're like me and are only using it for a few simple tasks, here's what I did. I installed VirtualBox (open source analog of Parallels and VM Ware. Not as many bells and whistles, but it sure does get the job done. And hey, it's free). Once I did that, it was pretty easy to install Windows XP - the external DVD drive that I used (not a Superdrive) worked fine, though I ultimately burned an ISO of the XP install disk and installed it that way. Works beautifully. Better yet, VirtualBox, XP and my Windows programs (including MS Office) only takes up 4GB of space on my hard drive. The issue I had with Bootcamp is that I realized that I was going to have to allocate 20GB to safely install and run Windows 7 in the new partition. And I only have a 64GB SSD. Now, with all of my programs, both OSX and XP installed, my personal files and a few gigs of music, I still have over 30GB of free space.