If you want to do multitrack recording/sequencing on your XP, you must enter Performance mode (by pressing the PERFORM button) and select a performance with a SINGLE key mode (LAYER key mode is for playing sounds made of stacked patches). For example, PR-A:01 House Set is in SINGLE key mode while PR-A:21 Heavy Kids is in LAYER key mode. Then press SEQUENCER to enter the sequencer and you should be set!
Check out the support documents at
www.rolandus.com too.