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From XP HELP:
To copy files and folders to a CD
[[Insert a blank, writable CD into the CD recorder.
Open My Computer.
Click the files or folders you want to copy to the CD. To select more than
one file, hold down the CTRL key while you click the files you want. Then,
under File and Folder Tasks, click Copy this file, Copy this folder, or Copy
the selected items.
If the files are located in My Pictures, under Picture Tasks, click Copy to
CD or Copy all items to CD, and then skip to step 5.
In the Copy Items dialog box, click the CD recording drive, and then click
Copy.
In My Computer, double-click the CD recording drive. Windows displays a
temporary area where the files are held before they are copied to the CD.
Verify that the files and folders that you intend to copy to the CD appear
under Files Ready to be Written to the CD.
Under CD Writing Tasks, click Write these files to CD. Windows displays the
CD Writing Wizard. Follow the instructions in the wizard.
Notes
To open My Computer, double-click the My Computer icon on the desktop.
Do not copy more files to the CD than it will hold. Standard CDs hold up to
650 megabytes (MB). High-capacity CDs hold up to 850 MB.
Be sure that you have enough disk space on your hard disk to store the
temporary files that are created during the CD writing process. For a
standard CD, Windows reserves up to 700 MB of the available free space. For
a high-capacity CD, Windows reserves up to 1 gigabyte (GB) of the available
free space.
After you copy files or folders to the CD, it is useful to view the CD to
confirm that the files are copied.]]
