http://www.makeuseof.com/tag/how-to-create-your-own-custom-windows-live-cd/
http://www.howtohaven.com/system/live-windows-rescue-cd.shtml
If you think that's too complicated, you can just download the one I made.
http://hosting.dfbgaming.com/members/XPE.iso
http://hosting.dfbgaming.com/members/XPE.txt
http://imgburn.com/ - ImgBurn to burn the ISO to CD.
[img:a3ed7f4a90]http://img190.imageshack.us/img190/586/20090627231718.jpg[/img:a3ed7f4a90]
And the internet works fine if you need that.
[img:a3ed7f4a90]http://img32.imageshack.us/img32/5157/20090627232333.jpg[/img:a3ed7f4a90]

See also emac's post about Live CDs: http://dfbgaming.com/Thread6223.html