OK, follow these steps:
make a folder (e.g. C:\WINXP) and, using Windows Explorer, copy all the contents of your CD to that folder
download and extract wxpboot.bin from this file: wxpboot.zip
open ImgBurn, switch to Build mode and, in the 'Output' menu, choose 'Device' if you want to burn to media or 'Image File' if you want to save to an ISO image on your HD
click the 'Browse for a folder' icon and add your C:\WINXP folder (you can also drag/drop it)
in the 'Options' tab, change File System to ISO9660 + Joliet and enable Recurse Subdirectories, Include Hidden Files and Include System Files
under 'Advanced' tab, 'Restrictions' tab, 'ISO9660' tab, and check the following:Level 1, Standard Character Set
Allow Files Without Extensions enabled
Don't Add ';1' Version Number To Files enabled
[*]go to the 'Bootable Disc' tab, enable 'Make Image Bootable', select 'Emulation Type: None (Custom)', click the folder icon and select the wxpboot.bin file you've extracted earlier, and change the Sectors To Load field from 1 to 4 (this is very important!)
[*]go back to the 'Information' tab, click the 'Calculate' button and, when ImgBurn asks if the folder is the root of your image, answer Yes
[*]click the big Write/Build button, re-confirm that the folder is the root of your image, enter any label you want and confirm.
Your guide is great and everything goes just as you said until I go to the calculate button and after it ask me if the folder is at the root of the image and I say Yes, its says "E 15:25:56 Directory depth exceeds ISO9660 limit of 8 levels!" because it says that it is 9 levels deep. Anything I can do about this?
Thanks for the help on other ways to slipstream service packs, but I have already slipstreamed SP2 into the i386 folder.