How do I create a mirrored volume in Windows XP (or Windows 2000 Pro)?

You don’t.
A mirrored volume, also known as a RAID-1 volume, is a fault-tolerant volume that duplicates data on two different physical disks. Mirrored volumes are supported on dynamic disks, and provide data redundancy by using two identical copies (mirrors) of the volume.
You cannot create mirrored volumes on computers that are running Windows XP Home Edition, Windows XP Professional, Windows 2000 Professional or Windows XP 64-Bit Edition.
Notice that the “Add Mirror” option is grayed out:

And if you try to add a new volume on the second disk, notice that there is no RAID1 – Mirror option:

However, you can use a computer that is running Windows XP Professional to create mirrored volumes on remote computers that are running Windows 2000 Server, Windows 2000 Advanced Server, or Windows 2000 Datacenter Server, or the equivalent versions of Windows Server 2003. You must have administrative privileges on the remote computer to do this.

Links

Dynamic vs. Basic Storage in Windows 2000 – 175761
Create a Mirrored Volume in Windows XP – 307880