There are a few options for deleting files from a CD-RW.
1. erase the whole thing and start all over... this can be done easily on XP.
2. erase only the file you don't want, and keep the rest (in some sense like a floppy drive). To make a CD-RW act like a floppy, you need to format it first. And of course, you have to have the same software you use to format to do the rest of the stuff. For example, if you used "EasyCDCreater" to format your CD-RW, then only the machine with EasyCDCreater loaded can erase the file.
I think you are trying to take the 2nd option... make sure you do have the same software... if you used the burning wizard comes with XP to copy the CD in the first place, you do NOT have option 2 (you can only erase the whole CD and start over).