CD/DVD burning capability has been added to Windows Operating System since the release of 
Windows XP. However, the steps to burn 
CD/DVD on Windows Vista and Windows 7 are a bit different (and somewhat simpler) comparing to Windows XP.
For details on how to burn 
CD/DVD on
 Windows XP, click 
here
You can use this built-in feature to create a data CD/DVD or an audio CD. The steps below will guide you through the procedures. Although the steps below are based on Windows 7, they are very much similar to Windows Vista.
If you're using a Re-Writable CD (CD-RW) or DVD (DVD-RW, DVD+RW), make sure the disc is blank (or "formatted").