Reading page 108 of the September issue it says that when you insert a blank CD it will automatically open the Wizard. On my computer it opens Windows Media Player. I have searched for the Wizard File without success.
Do you have other CD burning software installed (Nero or ECCD or similar)? I found in one of my machines that the native XP CD burner is over-ridden by other burning software, in this instance Nero, and does not open automatically.
If you do have independent burning software, can I suggest that you use that instead. The one installed with XP is, shall we say, basic.