You need a RAID controller... either one is integrated into your motherboard, or you need to buy a seperate card.
If you want to install Windows XP on the RAID volume you need to have a driver diskette ready for when you do the install, as the install program will likely not have the RAID drivers, and unless you supply them the setup will not see the RAID volume.
Also, if you want to use this volume for XP then you also need your controller to have a boot ROM.
Remember also that if you do this (its called creating a RAID 0 stripe set) then you must understand that loosing one disk will mean loosing everything.