You need to install packet writing software to be able to use cdrw blanks as any other removable media. You will also need to format the disc before it can be used, a somewhat time consuming process depending on the drive, disc type, and software. The dvd drive should have come with software to do this. If not, go to the manufacturer's web site and find it.
winxp already includes this for cdrw media in the basic windows xp installation or one of the updates, but native support for dvd-rw is not yet in winxp.
You can also probably run a program like nero burning rom or another dvd burning program and have it do the formatting for you, but I think you still need the packet writing drivers and software installed. incat does that, the adaptec software does it, and nero comes with a packet writing driver as well.