Boot from the XP install CD. When it gets to the bit where you select location for install, use the tools there to remove the existing partition(s) - select & type D - and then create a new partition & install XP in that. This presumes you've backed up any data you need, as it will wipe all existing filestore.
Note: If this still leaves a menu entry for 2k and or old XP (sometimes its too clever for its own good and saves boot.ini during early install process, before you remove partition), just edit them out of boot.ini.