Edit: Updated the Answer to better include Xen server Specific information.
Installing to an ISCSI target is similar to installing to a local disk.
You should be able to set your iscsi target as "First HDD" in the iscsi initiator settings.
Additionally, make sure that you have a boot order of:
1) iscsi target (DO NOT ALLOW IT TO BOOT TO THIS TARGET DURING INSTALL)
(You should be able to set the target to mount but skip booting 1 time in the initiator settings)
2) CD-Rom drive.
The system should them mount the target, then boot to CD-ROM.
After booting the to the Xen Server Install Media
- At Xenserver installer boot press F2 to go to Advanced Mode
- Type 'shell' at the prompt
At the prompt type: (Where "iqn.2010-01.com.example:name" is your IQN name)
echo "InitiatorName=iqn.2010-01.com.example:name" > /etc/iscsi/initiatorname.iscsi
Initialize your target ("--mpath" if you have multipath setup to the iscsi LUN)
Information lovingly borrowed from here: