hi there.... first of all the development board that u r using contains
a serial PROM for configuration in case u r not programming through the
JTAG. Once u select JTAG option in the programming environment the FPGA
is configured directly using the JTAG without the use of the PROM. The
JTAG uses TDI,TDO,TCK and TMS pins for this purpose which connect to
the respective pins of the FPGA. The TDO from JTAG connector goes to
the TDI of FPGA and TDO of FPGA goes to TDI of JTAG. TDI and TMS are
connected as it is.
Coming to storing ur program, first of all u hav to generate a serial
PROM configuration file. This is different from the configuration file
generated for the JTAG mode. This option u can find in the create
programming file tab. Then u hav to program ur serial PROM. This is
mostly flash that u can program via serial port and the software for
the same will be provided with the tool itself.
 Now if u r planning to develop ur board then it is best to go for a
platform flash solution from the xilinx the compatible platform flash
PROM for your spartan IIE device                 ( XC2S200E) is XCF02S.
This has an advantage of getting programmed directly with a JTAG cable.
Just search this on xilinx site n read about these PROMs. These r
really a wonderful solution so u dont need a third party programmer
tool also. 
  Hope it helps...
 thanx n regards,
  PUNEET

Hello,
I'm currently working on a project and I am at the stage where I'm
ready to work on the PCB layout.  For development I was using the
Digilent Spartan IIE development board
(http://www.nuhorizons.com/services/development/Xilinx/SpartanIIE/SpartanIIEBoard.html)
 and would use the six pin JTAG connector with the Nuhorizons JTAG
cable (http://www.nuhorizons.com/products/digilent/jtag-cable.html) to
program and test my design on the chip.  This worked fine for testing
purposes, but I then realized I'd have to store the program in a memory
chip (using the SPROM connector).  After going over the schematics and
the datasheet for the development board, I am immensely confused as to
how the programming file generated by the Xilinx ISE is used and
programmed onto the FPGA.  I would like to know exactly how this
process works and what FPGA pins and external devices are needed for
functionality.

If anyone can help me out or point me to a place where I can figure it
out on my own it'd be greatly appreciated.

Thanks!