The COA stickers are used with OEM licenses, which are tied to the machine the O/S was originally loaded to. The COA for the retail version is on the packaging, so that it can be transferred.
Here's a bit from the Retail XP Home EULA (License)
13. SOFTWARE TRANSFER. Internal. You may move the Software to a different Workstation Computer. After the transfer, you must completely remove the Software from the former Workstation Computer. Transfer to Third Party. The initial user of the Software may make a one-time permanent transfer of this EULA and Software to another end user, provided the initial user retains no copies of the Software. This transfer must include all of the Software (including all component parts, the media and printed materials, any upgrades, this EULA, and, if applicable, the Certificate of Authenticity). The transfer may not be an indirect transfer, such as a consignment. Prior to the transfer, the end user receiving the Software must agree to all the EULA terms.
So, if you had the retail version, you can move it between machines. This also means that you could entirely reconstruct your machine and use the same license as long as the software exists on a single machine (per license). From what I read above, only the original purchaser can sell it.
In the case of an OEM license, there are more restrictions. The license is tied to the original machine it was installed on. However, you are permitted to make changes to the system with the exception of the motherboard. If you change the motherboard (except for warranty cases), you have built a new machine and need to purchase a new license.
The COA shoud be attached to the PC by the supplier.