There are some curious anomalies when it comes to writing CDs/DVDs in Windows XP, and one of these is the lack of inbuilt support for writing ISO images to CD.

However, Alex Feinman has an ISO Recorder V2 for Windows XP SP2/SP3, which even comes recommended by Microsoft.

Petri has more information, including use of CDBurn.exe from the Windows 2003 resource kit, and the screenshots of ISO Recorder V2 (above).

If you just need to use an ISO image (without burning a CD), then software such Daemon Tools or Alcohol 120will mount ISOs as virtual drives.