OK, well your questions are a little confusing, but I'll try to help.
In order to use XPe, you need to have Windows 2K SP2, Windows XP SP1, or Windows XP SP2. You need one of these OSs to develope and build an XPe image. You do not necessarily need to have a fresh copy of XP Pro loaded.
Once you verify you have the correct OS installed, you can install the XPe toolkit. You are going to develop your XPe OS image from within your XP/Win2K operating system - so you will install the XPe kit within your XP/Win2K OS.
You will then proceed to create your own XPe image by running the tools within Start->Programs->Microsoft XP Embedded. Once you successfully create an image without errors, you need to load it onto your target device.
I set up a dual boot system. First OS is of course my Windows XP Pro SP1. The second OS is my Windows XP Embedded image. I did a dual boot setup with two separate hard drives. Each hard drive holds an OS. You should be able to set up and test something similar by creating another partition on one hard drive to put your XPe image on.
Reboot the system and select the XPe OS on the dual boot screen. First time booting up on your image should load up the FBA. It should start loading all of your components and installing. The screen may flicker a bunch of times - this is normal.
If after booting to the XPe OS, it loads up the FBA, seems to install components, reboots, and keeps doing the same cycle - something is wrong.
If you have this problem, let me know here and I'll explain more.
Also, if anyone posts any questions here in regards to XPe, I ask that you PM me and let me know that you did so......I'd love to help, it's just that sometimes I forget to follow up on these threads. A friendly PM would help much.