XP clean install problem

Recently my harddrive got re-formated and virtually wiped
clean, by me because I wanted to do a clean install of XP. But now I'm
afraid I've done something bad. I try to load XP by using the disc
that came with my computer, I guess it's called the recovery disc. But
when I try to run setup exe. it says this program will not run in dos
mode. How else or you supposed to run it? Any help greatly
appreciated.