If you want to keep the Chinese version, just buy and install a new hard drive, put the old one in a box somewhere, and install an English version of Windoze on the new drive. That way, you still have the self-repairing Chinese Windows version around somewhere if you get desperate.
BTW, downloading a CD of Win** is not illegal; installing it with a pirated key is. You can borrow an English-version CD from wherever; what you buy from Microsoft is the license to install and use the OS, which is embodied in the key. If you can buy a license&key legitimately from someone (e.g., you call your Aunt Sophie in Akron and get her to buy a box and email the 25-character key to you) you’re basically fine.
One issue, though, is that Microsoft uses incompatible keys between releases, i.e., a copy of Win2K purchased in January 2001 would not work with keys that got shipped with Win2K that Microsoft shipped in November 2001, because in that timeframe Microsoft would update drivers, change various random pieces of code, and introduce new and improved bugs into the system for IT to deal with, and would change their key-generator to have a different encoding. Similarly, your presumably legitimate key for Chinese WinXP almost certainly won’t work to let you install English WinXP. Yes, it’s a pain. What else did you expect from Microsoft?