Windows 7/Server 2008 R2 are the first Windows versions to come with PowerShell installed, by default.
Windows PowerShell 2.0 needs to be installed on Windows Server 2008 and Windows Vista only. It is already installed on Windows Server 2008 R2 and Windows 7.
Ignoring the horribleness of installing XP SP2 in this day and age, if not having PowerShell installed by default is a problem, you have many options to correct that, both retroactively (like GPOs or startup/logon scripts to install it) and going forward (by slipstreaming it into an ISO image or a machine that you deploy).