I too just finished building my SLI computer and had no trouble with installing WinXP with both cards in at the same time. Just be sure if you have the A8N-SLI that you place the little jumper card the right way indicating dual video card operation and connect the SLI bridge to the "golden fingers" on each card. WinXP recognizes both cards but obvioulsy does not have the drivers for them yet and so in the Device Manager they will show up a Standard Video Adapters or something of that sort. Then I went to nVidias site, downloaded the latest drivers, installed them, rebooted, and walla a little bubble popup comes up in the bottom right corner indicating I have an SLI capable system, please click this balloon to enable this mode. I click the balloon, click a checkbox for SLI, it asks me to reboot, I do, then another balloon comes up upon the second reboot indicating SLI has been enabled.
Really, this went a whole lot more smoothly then I had anticipated.