The burner built into XP should burn ISO9660 1 and 2 discs normally (it doesn't burn until the end and then does it all at once - packet written discs usually get formatted first and then burn each file as it is dragged over).
However, Microsoft had a problem which made discs, which appeared correct, but did not play in some car MP3 players.
Microsoft have an article on this problem in their knowledge base -
http://support.microsoft.com/?scid=kb;en-us;Q320174 - it has a resolution in there, which is worth a try...
There was also another issue (something to do with writing the path table after the data rather than before...) that I know Pioneer have a workaround for in their modern players, but your Sony may not have.
If you use a separate burner program (Nero etc) it should work fine and produce "proper" ISO9660 level 1/2 discs.