Step 1: Format your USB with "USB Disk Storage Format" tool
Copy 2 files: grldr and menu.lst to root folder of USB.
Step 3: Extract HBCD folder in Hiren's boot CD to root folder of USB
Step 4: Extract all files and folder in Windows XP.iso to root folder of USB
Note that you can Install Windows XP from this USB with this method:
After logged to Hiren's boot menu, select Dos and run: