The Windows Setup screen will appear and a number of files and drivers necessary for the setup process will load.
Toward the beginning of this process, a message will appear that says Press F6 if you need to install a third party SCSI or RAID driver.... As long as you are installing from a Windows XP SP2 CD, this step is probably not necessary. On the other hand, if you're installing from an older version of the Windows XP installation CD and you have an SATA hard drive, you will need to press F6 here to load any necessary drivers. The instructions that came with your new hard drive should include this information.
For most users though, this step can be ignored.