When your system boots up, does the POST (Power-On Self-Test) say that it detects the CD drive? How many drives hard/CD/DVD, etc., do you have?
You may have to go into your BIOS & turn on IDE channel 1 (the second channel), Channel 0 being the first.
Every time XP boots it looks for all the hardware that was connected the last time it was shut down. When the OS boots it does this little Roll-Call for each of those devices. If it doesn't get a response from a particular device, using it's last-known settings, it doesn't load the driver for that device.
The OS can't get a response from the CD ROM drive because it can only talk to the drive via the driver. Since it doesn't get a response, it doesn't load the driver! So then the device doesn't show up in Device Manager! So you re-install...
Am I making sense, or have I been awake too long?
But before I dove into the BIOS, I'd make sure that my Master/Slave/CableSelect jumper on the CD ROM drive was set properly. If that's wrong, the BIOS won't see it anyway.
Master if it's the only device on the IDE channel or is the First device, Slave if it's the Second device on the channel, CSelect if all else fails...