Actually, I'm sure you can create the backup to a location on your hard drive and then burn it separately to a CD-R or CD-RW with Nero or Easy CD Creator. I'm not at an XP machine right now so I cant check the options, but I'm almost certain you can choose your own backup loaction.

With this in mind, Rev's advice should also hold true. So long as you have some packet writing software such as Roxio DirectCD or Nero In-CD. This will alow you to write to the CD-RW like you would to a floppy or Zip disk.