From ComputerWorld:
"Apple also confirmed that MacBook Air users who want to install Windows XP or Vista in a Boot Camp partition must have an external USB optical drive, like the $99 SuperDrive the company sells. Windows can't be installed using the Remote Disc CD/DVD-sharing software bundled with MacBook Air, said Apple. "Be sure to connect your external USB optical drive to your MacBook Air before starting the Boot Camp Assistant," the company warned."