As JFV says, it is not possible to include a watermark in a header or footer in Excel (not sure about XP though, may well have this often requested feature).
If you have just a few pages in a single sheet, a workaround would be to create a WordArt object, shade it very lightly and put it to the background or make it transparant. You'd have to copy the watermark to all pages. There's a description on the zdnet site somewhere.
Another workaround would be to preprint the paper with the watermark. Officially, doing two print runs on the same paper is supposed to be bad practice.
Finally, it is definitely possible to get watermarks in place on all pages of a sheet with VBA code, perhaps you can find some at the VBA forum.
FWIW
IS