You are not able to boot and install Windows XP from the TFTP boot menu due to the way ramdisk and memdisk handle the system.
More info here - [url]http://www.syslinux.org/wiki/index.php/MEMDISK#Windows_NT.2F2000.2FXP.2F2003.2FVista.2F2008.2F7_.28NT_based.29[/url]