Yes at some point during the first boot, the Windows installation would have asked you about your language and locale. Unfortunately this process in XP is a horrible mess:
(1) It defaults to US for everthing, i.e. Locale is USA, language is US-English, keyboard is US-English and the time zone will be somewhere in the states too
(2) All of these settings have to be set individually, there may be circumstances where having them set mismatched makes sense, i.e. a Brit moving to the US and taking a laptop with them. But 9 times out of 10, they will need to match, so why it isn't enough to say "I'm in the UK" and everything gets set accordingly I don't know. Windows Vista and 7 do go some way towards that I believe.
(3) Setting the correct keyboard layout only takes proper effect after a restart. It is not possible to add the UK layout and remove the US one in one step. The installer tries, and then says it can't do it, and the change will take effect on the next restart.
It's irritating, but provided you don't skip through the initial settings scripts too quickly you will catch the needed changes.