The BIOS is saved directly on the motherboard.
You probably don't need to erase your HD, but you will need to check Device Manager after you boot up to see if there are any devices with yellow triangles. Those indicate hardware that is not functioning correctly.
XP will most likely find any new hardware on the mobo and if you have a disk that came with it, it will have the drivers on it.
You also want to check Device Manager for any entries that may refer to hardware that was on the old mobo. Again, these should have a yellow triangle next to them.
You will also want to run Microsoft Update as soon as you can to see if there are additional updates for any new hardware related to the board (namely device controllers).
Finally, if you are replacing a Dell, Gateway, eMachines, etc mobo, one of two things will happen:
1) If you are lucky, all you will need to do is activate your copy of Windows again. That;s because you copy of XP was originally installed on specific hardware that did not require activation.
2) If you are unlucky, your system won't boot at all and you will get an error message. That;s because the OEM version of Windows may not allow you to even boot into Windows because of the mobo change. It is not very common, but it can happen.