As Sirgod states, perhaps an install from the Actual install program on the CD. The opening page is actually only a directory link to it, which for some unknown reason may be unopenable on your version of XP?
I know it works in my version, but I also know computers are testy things.
As Sirgod suggests, go to the CD drive (typically D: but I have a second harddrive labelled D on one of my computers, so it's actually E) and explore it...look for either an install or setup program...
If that doesn't work, perhaps copying the entire contents of the CD to your hard drive, and then try installing from there. If it doesn't work, perhaps try compatibility mode?
Finally, if you are actually able to start the program, it's just not installing, perhaps it has to do with the detection size fault found in the original Baldurs Gate 5 disk set. It had a problem when people had hard drive space available over a certain amount. It was fixed in later versions, and I think there may have been a work around, but I never had to use it and hence I am uncertain what it was.