The first thing to check, after ensuring all the cables are connected properly, is that Windows has the option to write to discs enabled.
Thankfully this is an easy task to complete. See the video here.
Rt Click on the cd or dvd drive
Ensure the box labeled Enable CD recording on this drive is ticked.
Then close down My Computer and all should be sorted.
If you don't have the recording tab when you go to properties, see this page from Microsoft, which shows you how to enable it.
Windows XP does not have built in DVD recording facilities, even for data dvd files. So you cannot use windows explorer to drag and drop files and record to a dvd, only cd's. You need to use a third party programme such as Nero/ Roxio to complete this task. Windows Vista now has dvd recording facilities.