There are two kinds of CF cards available. A lot of them are intended for use in cameras and PDAs, etc. and have a bit set indicating that they are removable. The problem is that it is not possible to boot XPe on them without getting the bit set to fixed (there cannot be more than one partition on them either). There are tools in the market that will do this, but these do not always work reliably.
My advice would be to buy (industrial grade, of course) cards with the bit set to fixed to avoid that hassle and maybe negative side-effects.