SQL Server 2005 database engine login failed error?
As per MSDN you can't install SQL Server 2005 Enterprise Edition on Windows XP. It's not supported. It seems that you can install client tools, BOL and some legacy tools, but not the database server engine itself.

So to answer your question: the SQL Server engine has very likely not been installed when you run setup, so neither you can connect to it, nor you can start any SQL Server service.