This is common problem when people are scared by the snowflake and buy a key. The key is useless to you as you don't have an OEM disk and it's an OEM key, some people find this amusing - I am one of them.

If you do have an OEM disk then you have to boot from it and do an in place install - that is choose 'install' at the first screen then 'repair' when it finds your OS. This will not work if you got XP home key and you have XP Pro Corp installed, you must have XP Pro key and disk.

The repair install will replace the corp version with the OEM version and shouldn't loose anything.