Try "Open writable CD folder", this will open a window showing the contents of the CD or DVD (which should be nothing at the moment). Then open up wherever the file you want to transfer is. Drag and drop or copy to the CD/DVD window. Then click "Write these files to CD" (or presumably DVD if that's what you have stuck in). This should write the files to your disc.
NB, this will just write the files "as is", ie in the same format that the clip is currently in - this will probably only play on another PC. If you want the file to play in a DVD player, you will have to convert it to a different format, for which you will need some burning software.
This isn't the quickest or best method to durn video files, but is basic and should work on any XP machine!