The app you are trying to install is not included on the disk it is a add on you can get it at the link below. There is information about what it is at the link. It is not something you need for apps like LimeWire. It is basically for setting up a Windows P2P network from what I read doing a quick scan of the article. If you want to install it you will need to DL the Windows Peer- to- Peer SDK advanced networking pack at the link below.
http://www.microsoft.com/windowsxp/p2p/overview.mspx