XP does not natively support burning of DVD's
Suggest you download and use the Free program CDBurnerXP
"CDBurnerXP is a free application to burn CDs and DVDs, including Blu-Ray and HD-DVDs. It also includes the feature to burn and create ISOs, as well as a multilanguage interface. Everyone, even companies, can use it for free. It does not include adware or similar malicious components."
I've had it installed for years, it is very simple to use.