
Windows doesn't include a comprehensive set of tools by itself (though many computer makers include third-party software to help). Here are some software tools recommended by readers of the consistently-great blog Lifehacker: Five Best CD and DVD Burning Tools (Nov 30, 2008)
By contrast, Mac OS X includes some great tools for burning data CDs and DVDs, burning video DVDs, burning audio CDs, burning disk images, and more. A useful alternative to the built-in tools is an application called Burn, which won't cost you a dime.