Sorry, I was wrong, Windows XP CAN burn DVDs. Here's how, with pictures:http://www.cvm.ncsu.edu/cr/howto/How%20to%20Burn%20Cd%20with%20XP.htm
But third-party software is better.
It's also possible that Windows Media Player on Windows XP will be able to burn CDs for you, but not DVDs. And for making video or movie DVDs, you will definitely need third-party software, such as Nero.