You can't change files on a CD unless the CD is formatted for such.
Each CD burning app has it's own terminology for this. In Roxio Easy CD
Creator for example, you would use the DirectCD Format Utility. In another
CD burning app that I used it was a matter of choosing to create a "file CD".
You cannot simply use the drag-and-drop burning functionality in Windows XP,
you have to have an application, such as the one that came with your computer
or with a drive that you purchased separately.
Just look through the app to find the utility. Using the standard CD copy
utility or data CD creation utility won't do it, but most CD burning apps
have what you need; you just have to look for it.
Keep in mind that because the disk has to be formatted, it may take a while.
Also, the disk probably won't be able to be used on a computer that doesn't
have the same utility installed.