Perhaps the best thing is to go back to the helpful people in PC World and tell them that the installation CD was missing from the printer that you bought. Don't leave until they give you one, or a copy.
Also, disable the Win XP firewall, then see if you can find the printer on the network.
I have a copy of the old HP JetDirect setup software (I don't think it's still available on the HP website) that I can email to you if you PM me with your address - it's about 5.5 MB.
SD