If you're putting them on a CD then the standard program is XP itself, simply right click on the files and select send to > your cd drive
If you are putting them on a DVD then you need an extra bit of software, you may have either nero or roxio installed already (check your start menu) as they are often included with new computers. if you've got nothing installed already then this is a good free bit of software for burning CDs and DVDs
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