It should have installed by default when XP was set up and should appear on
the start menu under accessories. If it is not there, you might have
accidentally deleted the shortcut. Open Explorer and do a search for
calc.exe. If nothing appears, for one reason or another it would appear not
to be installed.
It doesn't appear in Add/Remove Windows Components under Add/Remove programs
because it is installed as a part of the "Accessories" package. Hence, you
might try the following, open Add/Remove Programs in Control Panel, click
Add/Remove Windows Components, if Accessories and Utilities is not checked,
check it click next and follow the screens. If it is checked, uncheck it
click next, follow the screens, then check it and do the same, this should
reinstall the Accessories package. You may be asked for your XP CD.