What BackTrack version you should download for Windows XP? I don't think you understand what BackTrack is, its a Linux based Operating System, not Windows based software.
You cant "run" BackTrack from Windows. The closest you can get to this is running it under a virtual machine hosted under Windows. Now if thats what you want to do you can download the VmWare image of BackTrack 4 OR the DVD ISO and run that in VmWare.
If you want to run BackTrack as the Operating System on your computer you can download the DVD ISO, burn it to disk and then either boot it as a Live environment (Windows XP stays intact and can be used again at next reboot - DONT CLICK ON THAT INSTALL.SH ON THE DESKTOP!), or you can install it on the hard drive and use it instead or or alongside your Windows XP installation (in this case you can click on the install.sh on the desktop, but read the Installation HowTos first).
Hope that clears things up for you.