If you are using Windows XP (or any Windows earlier than Vista) the operating system itself doesn't provide you with any tools to write anything on DVD media - only CD-R/RW media is supported directly in Windows XP.
You will need a DVD burning program such as e.g. the commercial
Nero, Roxio or Cheetah suites, or the free ImgBurn, DeepBurner etc.
There are some threads about free burning software in our forums - I suggest doing a Search.