How to install Windows Phone SDK on Windows XP

Download the Windows Phone SDK from Microsoft Download Center
Extract the downloaded package by running in a command prompt

vm_web.exe /x

Go to the folder of the extracted package and open the file baseline.dat with text editor
Look at [gencomp7788] section and change two entries in this way:

InstallOnLHS=0
InstallOnWinXP=0

Save the file baseline.dat and run

setup.exe /web

Enjoy