Correct, you cant under XP Pro
Try it. Two dynamic disks. You wont find a mirror option. Searched high and low on MS's site. Servers can. I have 2 Windows 2000 Server's that are running a config like that (2 SATA HDDs, RAID1/Mirror). In Windows 2000 Server its directly supported (and works great). Just not in XP Pro. I thought for sure it was....maybe they removed it? But according to their own knowledge base, its not supported
Maybe if you have a RAID card...I had a Mylex a while ago that handled all the raid stuff and MS saw it as one drive. Few years ago, had 256mb of ram on the card itself, sure worked nicely with two UW SCSI drives.