You need to have a cd burner (hardware) and a blank cd-r disk. XP has
built-in burning software. Open Help & Support and type in "burn cd"
and follow the instructions.
If your computer came from a big mftr. like Dell, HP, etc. it may have
third-party burning software preinstalled. If it does, use that. Look
on your Start Menu>Programs to see. If you find something from Roxio or
Nero, open the burning program and read its Help file.