Windows Media Center is a feature of Windows http://en.wikipedia.org/wiki/Windows_Media_Center. Did you just buy a remote? Or did you buy one of the old XP based Media Center Edition OSes. (In which case, why? Windows 7's version blows it out of the water.)
If you bought it online please post a link to what you bought.
Again. Why XP MCE? You would have been better off with 7 Home Premium.
The problem with XP MCE is that it comes on two CDs and there is no way to eject the first CD to put in the second. There are workarounds most of which involve copying both of the CDs to a DVD or USB device. e.g.
I think I will return the MCE and get the Window's 7. I wanted XP because I have been using it since first release and thought it would be more UF for me.