You have mentioned two distinct activities
CD-R and CD-RW
Assuming your CD device is indeed a 'writer'
The drag-n-drop should work.
I assume you are referring to XP's built in 'burn'routine.
It is preferable however to disable this and use a dedicated program like Nero.
CD-RW is a different animal and need an addin on because it uses a 'Packet-writing routine.
In Nero for example it is called IN-CD.