I do not have XP but you need to create a stationery and place it in the stationery folder. Search for this folder and you find already more there.
How to do them? These files are HTML files, same as webpages. You can create them with any webpage editor.
Before you now start and built all these fancy pages...be aware that with the virus and worm awareness more and more email user are not accepting HTML-display anymore. Your fqancy stuff ends up in a hard to read coded mail, any picture embedded is just delivered as an attachment and most firewalls (at least the one here) filters these attachments out and simply deletes them.
Now that makes all your ideas and work most useless...sorry to disappoint you.