There are many reasons you might want to download Windows XP. For example, if you need to install Windows XP but you've lost your original XP Setup CD, downloading Windows XP would get you out of that bind.
You might also might want to download Windows XP just to try out the operating system or to put it on a second computer at home. Windows can be expensive so finding a place to download XP for free is an enticing thought. Pretty much everything is available on the Internet for free, right?
No matter where you find it, any XP download you come across online is likely illegal. The only guaranteed legal course of action when you need a copy of Windows XP is to actually buy a new copy of Windows XP. It's that simple.
It's important to note as well that even if you did download Windows XP, what you would get is an image of the Windows XP Setup CD. For example, you would probably download an ISO file like windows-xp-pro.iso, or something like that. You would then burn that ISO image to a CD that you would then use to install Windows XP.
In many ways, however, what you actually pay for when you legally purchase a copy of Windows XP is the product key (sometimes referred to as a CD key or key code, or incorrectly as the serial number). This unique number is required during an installation of Windows XP. So even if you did download Windows XP, you would still need a valid XP product key to install and use Windows.
Note: If you actually do have a Windows XP CD but you're looking for your product key, there is a way to find it as long as it's still installed on a computer. See How To Find the Windows XP Product Key for easy instructions.
If you do in fact have your Windows XP product key but you're missing your Windows XP CD, you could argue that, since you did actually purchase XP and you have a valid product key, downloading a Windows XP CD image from anywhere should be within your rights. I tend to agree with that argument, but Microsoft isn't quite on board.
At this time, however, the only legal way of obtaining a Windows XP CD is from from a legal purchase of the operating system. I would suggest contacting Microsoft for a replacement Windows XP Setup CD, assuming you can show proof of purchase. If you own a major brand computer, you could also have luck contacting them directly for a replacement Windows XP disc or restore disc.