Windows XP (home, Media, or pro) can handle buring CDRs straight from the OS without media player or and 3rd party softare (If the drive is on the HCL-see bottom). Just treat the drive as you would any other folder, and then the OS will prompt you with "do you want to write these files to disk" after you drag and drop files to the appropriate drive.
BUT, there are myriad ways in which this won't work- most of which concern your hardware. Is it installed correctly? Is it on the HCL (hardware compatability list)? If not, do you have the right drivers and firmware/software on your machine?