Taken from Microsoft: (http://support.microsoft.com/?kbid=307654)
To install the Recovery Console, follow these steps:
1. Insert the Windows XP CD into your DVD or CD-ROM drive.
2. Click Start, and then click Run.
3. In the Open box, type X:\i386\winnt32.exe /cmdcons
(where X is the drive letter for your DVD or CD-ROM drive.)
4. A Windows Setup Dialog Box appears. The Windows Setup Dialog Box describes the Recovery Console option. To confirm the installation, click Yes.
5. Restart the computer. The next time that you start your computer, "Microsoft Windows Recovery Console" appears on the startup menu.
The Recovery Console is good for many things, such as correcting boot issues with the 'fixmbr' and 'fixboot' commands, or renaming/deleting files that are locked while in Windows.