You didn't get a PC with XP Home on it did you? It doesn't have it:
http://support.microsoft.com/kb/304197/EN-US/

You might also want to look at my response on some options to a similar question on this other thread:
http://p2p.wrox.com/topic.asp?TOPIC_ID=43685


Jim Minatel
Senior Acquisitions Editor
Wiley Technology Publishing
WROX Press
Blog: http://wroxblog.typepad.com/
Jim's Book of the week: No book this week - Donate to the Red Cross!