It can be done but it's tricky... Depends how much space you want to loose.
I guess doing that on CF cards is probably not the best idea due to limited space. Basically what you do is make a small normal partition at the start of the hard drive, just enough to load drivers to mount the NTFS RAID partition, and use symbolic links for the rest of the files on the startup drive. You can get it down to 16 megs or so I think. What I did was make a system partition that was 5GB at the start of the drive, then that partition was mirrored to the second drive. The remaining 35GB on both drives was setup as a striped raid.
You can use RAID on windows 2000 pro and windows xp pro but depending on the type of raid you might need some special tools to do it. You cannot do RAID 5 in software without the server version, but striping and mirroring is possible.