I know that this can be done using a U3 USB flash disk (which has two partitions; one detected as being USB-HDD and the other as a USB-CDROM) but it was my understanding that this was not possible from any other USB storage media.
That said I tripped over this:
http://wiki.eeeuser.com/windowsxpusbI haven't tested it personally however (I have a U3 device).