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**Note** I refer to burning a XP PRO ISO in this guide though the steps are the same to burn other ISO's with Nero.
If you don't currently have Nero download a trial from here.
Step 1: Open Nero
Step 2: Go to Recorder then select Burn Image.

Step 3: Browse to XP2_PRO_ENG.ISO in C:\

Step 4: Click open
Step 5: Place a blank CD-R in your CD/DVD Burner.
Step 6: Click burn.

Step 7: Wait till burning has completed click ok the CD will eject click done and exit Nero and your finished.
You now have XP with SP2 integrated.