If you've already installed Guild Wars, then you're running the wrong file :P
If not, then yeah, you need admin privileges. To get that in Windows XP go to...
Start-->Control Panel-->User Accounts--Change An Account-->Click your account-->Change Account Type-->Administrator
You will likely need to be logged on as an administrator to do this.
Also, make sure that you do, in fact, have the amount of space that GW requires to be installed. Which is around 2GB iirc.
After that, you should be good.
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