MCE does install in two steps, but you need a MCE/XP disk for step 1 - at least i've never gotten it to work with one of my standard XP SP2 disks....i've had to use the MCE disk 1, and then disk 2 (MCE) to get an actual MCE going.
Not saying it can't be done, but that's how i've had to do it. I didn't anticipate any major problems, though.
