I'm using a Maxtor Diamondmax 9. I got an OEM box though rather than a retail box so I didn't get a cd with it.
If you have an IDE version (the exact same as mine) then you don't need anything else. Just boot your Windows cd and go.
If you've got a SATA version, you need the SATA drivers that came with your motherboard (my Abit ones are on a separate floppy disk). Boot from the Windows cd, but watch the status bar at the bottom. During the first stage of initialising the setup it'll say something like "Press F6 to install additional mass storage device drivers". I've never had to do this myself, but I'd expect it'll look for a floppy disk at that point. Once it loads those drivers, I think everything else is exactly the same as with an IDE drive.
AFAIK, SATA drives work fine on both XP and 2k. I'm not sure what this cd you got is, but I didn't need one for my drive. (XP Pro, Maxtor DM9, Abit NF7-S mobo)