By 'finalize' I am assuming you mean that you do not want to be able to add
anymore files to the disc. Windows XP's built in software will finalize a
disc once the disc is full. It cannot finalize a disc earlier than that. If
you use third party software like Nero or Easy Media Creator then use the
program's option which is generally a setting you evoke on the burning
screen or by setting DAO - Disk At Once.