I prepare my USB bootable stick in Windows 7 x64 RC by using Start->cmd and:
1. list disk
2. diskpart
3. select disk X (X=USB drive number)
4. clean
5. create partition primary
6. select partition 1
7. active
8. format fs=fat32 quick
9. assign
10. exit

Then I open UltraISO->Bootable->Write disk image
Write method=USB-HDD+
and Write

I prepated Windows 7 RC USB bootable stick using above instructions and setup started with no problems.
I prepared nLited Windows XP SP2 x64 USB bootable stick the same way and txtsetup.sif corupt/missing problem occurs
I prepared Windows XP USB bootable stick from original CD the same way and txtsetup.sif corupt/missing problem occures.
I wonder if this is a boot sector problem...

I can't use WinSetupFromUSB program v0-2-3 coz it gives me error "grubinst.exe could not make a backup of MBR of disk #1" (yes, it is installed in a path with no spaces and it still does)

any ideas?

That's normal, directory structure is the same for CD/HD media for Vista and upwards, and different for Windows versions prior to Vista. Setupldr.bin expects $WIN_NT$.~BT folder (holding needed files for text mode) and txtsetup.sif in root. Next is $WIN_NT$.~LS folder, holding the source files.

If you post the log file found in program's directory this may help. Backed up and cab compressed previous log files are in BACKUPS directory.