It looks just like the problem I had a few months ago. It is coming from your PRO1 folder (for example in the guide) which contain the necessary files for TextSetup Mode and the first step of the GUI part.
PROBLEM I HADDuring the TextSetup portion it looks fine as winnt.sif kicks in and the $OEM$ folder is copied over... but at the beginning of the GUI I get:

After I click OK, I can specify where to find the files (D:\XPEN\I386)

It goes on and on for the following files:
1- asms (it is a folder under I386)
2- NT5INF.CAT
3- NT5.CAT
4- SP2.CAT
5- NTPRINT.CAT
6- NT5IIS.CAT
7- MAPIMIG.CAT
8- FP4.CAT
9- IMS.CAT
10-MSMSGS.CAT
11-HPCRDP.CAT
12-MW770.CAT
13-wmerrenu.cat
14-IASNT4.CAT
15-MSTSWEB.CAT
16-OEMBIOS.CAT
17-tabletpc.cat
18-mediactr.cat
19-msn7.cat
20-msn9.cat
21-netfx.cat
Then I finally get this:

Afterward, Setup goes on ... but I seem to be stuck at the T-37 stage (37-minutes)
SOLUTION:Get the proper boot files with GOSH method as outlined here:
CODE
$WIN_NT$.~BT - the boot folder
http://flyakite.msfnhosting.com/xpprosp1.htm