Guzeppi,
Try these steps:
1. insert blank cd
2. start -> my pictures (skip my computer for now)
3. find the pictures you want, and select them like you would to drag, but instead:
4. on the left hand side, click burn these pictures to cd (it may be under a 'picture tasks' menu)
5. if asked, select the cd drive (e) from a list, and click ok, yes, etc. if necessary
6. start -> my computer
7. right click the cd drive and 'write these files to a CD' like you did before, and finish the process.
These might not work perfectly and I may have forgotten a step; I haven't used XP for a while. but these should be very close to working.
As to why you are having the problem, sometimes window sizes and locations of my computer, my pictures, etc., get messed up or changed in weird ways.