How can I do boot logging on Windows XP?

Sysinternals' Process Monitor can do boot logging, though I've never tried it to see what the result looks like. Source

If you can hunt down a download link, Microsoft's deprecated BootVis tool would give you something to look at as well.

Finally, there's the freeware Soluto.

For a simple approach, see afrazier's answer and its comments as it suffices as an answer.

If you want to really deep-dive this, read the on/off transition performance analysis document by WHDC, it uses XBootMgr.exe from XPerf as found in the Windows Performance Toolkit in the Windows SDK.

Unless you want to go through the hassle of downloading the Windows SDK and searching the setup, I've uploaded a mirror of the setup so that you can use XBootMgr.exe straight away after installion...