Have you got Nero? I find this makes the process soo much easier. Using the default windows one takes time.
Though after you have inserted the blank media into the drive, just dragging data to the drive is no good, as this won't start the copy like a floppy drive.
You'll have to click on 'Write these files to CD' on the left under the CD writing tab and this should start it
As Windows will save what its got to copy as shortcuts, and if you don't want to copy these anymore, deleting them from the drive will not do it harm, and won't delete the real files from the drive.
Hope this helps. If you have Nero 6 you should be able to open this program up under Programs and copy using this method instead, this will be a worthwhile option as it supports more settings/modes and DVD copying better. Unless you only have the plugin to make the Windows one work, in which case, buy Nero 6. You'll find it much much better, trust me!