While XP will burn directly to CD-R/W media like it will to a CD-R it
doesn't differentiate between the two types. What I mean is that it will
treat a CD-R/W like it was a regular CD-R. So you can't save directly to it
from within a program, like MS Word for example, like you can save to a
floppy from MS Word nor can you delete or edit/change individual files from
the CD-R/W like you can a floppy.
If you want to save to CD-R/W media and work with it "like you would to a
floppy" then you need third party software that can preformat a CD-R/W disc.
Popular programs that do this are InCD from www.nero.com or DLA from http://www.sonic.com/products/Consumer/DLA/
You should be advised that using programs like InCD or DLA are convenient
but can be unreliable.
Certainly, when properly setup with an appropriate copying
application from Roxio, Nero, etc.
OTOH, consider the better alternative of an USB jump drive
or pen drive that are also available in the 500 MB or 1 GB
size. These are a lot more versatile and easier to handle.