Well, it’s pretty obvious they didn’t include it to help lower the price and technically, the system does come with CD burning software…it’s built into Windows XP.
Out of the box, you can burn data CDs and audio CDs from within Windows XP Explorer. Most of the tasks are pretty easy to do. You simply drag and drop files over to the CD drive and Windows XP will start the process for you. If will even automatically convert MP3s to WAVs so that you can make audio CDs. Lastly, there’s even a free plug-in from Microsoft to easily allow you to burn CDs with a built-in slideshow viewer. So, the functionality is there (although not extensive) and it’s not like you can’t burn anything at all.
Are you trying to burn something specific? (i.e. a certain kind of CD format?)