You should really get a better program as the built in XP one is very basic packet writing.
Anyway, I don't know exactly what you mean by "send the link", and there are various ways to do this, but you can just right-click the file/s you want to burn and select sent to ***** (Your burner) in the context menu.
You will then either get a balloon in your systray which you can click, or another window will open with a list of files to be written.
In that window, go to File, and select "Write these files to CD" and that should be it.
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