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CD Burning Software - None, the inbuilt CD Burning in Win XP is more than adequate
ISO Burning Software: MagicISO or PowerISO
Firewall: None so long as you are using a Full NAT router. Be sure to enable Windows Firewall and create a rule to block SMB over TCP/IP as this is not enabled by default.
AVG for AV
Nero (got it free with something) for all my burning stuff
PowerDVD (again came free with something) for watching DVDs, isos etc
No need for a firewall, router handles everything.