Hmm. Why did you need to buy e-SATA card instead of a simple e-SATA adapter, which will just mechanically connect to your Mobo's SATA port without extra electronics/controllers in between? I believe simpler is better and less is more in PC audio, i.e. less things to go wrong.
eSATA adapter by
drjlo2, on Flickr
I am using something similar to above to connect to an ourboard e-SATA (or USB) external drive, which actually houses both my OS and music. I have found this way to have superior sound quality vs. when I had another drive actually inside my computer housing OS and external drive for music, likely due to the internal drive not drawing power from Mobo, less emi/rfi, etc. After using several other e-SATA enclosures, I am really liking the Rocketfish enclosure, which has e-SATA and USB (which I don't use) and enables the cover to be off for cooler temperatures. It even has (red) silicone "wheels" that damp/isolate the drive from enclosure.
IMG_3937 by
drjlo2, on Flickr
As for your problem, first thing is to check and make sure in your BIOS which drive is chosen as the first drive to boot from. Also, I do not believe Win XP supports hot-swapping of e-SATA drives, so make sure you re-boot your computer each time your e-SATA drive is connected/disconnected.