First, the system could only be installed on primary partition.
Second,to make sure the numbers of your primary partition, if your primary partition is arleady four, you coule not create any new partitions, from your description it seems like there are three primary partitions with one extended partition already, you must shrink the extended partition (logical partition) and then create a new logical partition, therefore when you want to install xp in it there's no drive.
Convert one of the primary partitions into locial partition, then recreat a new primary partition. xxxxxxx about how to convert primary partition to logical
Note: as I now to dual boot Windows OS, you could only first install old version(such as Xp) then install new Windows OS(such as Windows 7, Windows 8), the dual boot will be complete.
However, if you first install new Windows OS, and then want to install old Windows OS, the dual boot would faild, you will loss the new Windows OS.
Edit by mod. You were warned not to mention that site.