|The burning software built-in to Windows XP does not give you the burning options you require, you need third-party burning software.|
However, Nero is commercial software which has to paid for. All "free" versions of Nero have been 'cracked' and are therefore illegal (unless it's supplied, as is often the case, with a new CD/DVD writer when you buy one to fit yourself).
There are a couple of free and legal CD/DVD burning applications which you can download (but it's advisable not to have more than one installed since they could conflict with each other):
There are a couple of others too, but they don't give you all the burning options you might need.