How to burn a .exe file to a cd

Hello. I had a problem burning a .exe file to a cd and looked over te whole internet to find out how to do it but failed.
1) I had a 700mb cd and when atempted to burn a 50mb folder, an error message said that the folder didn't fit in the cd
2) I tried to copy the file over Disk utility and nothing
Please can anyone help me?
My mac is a Mid 2012, 13'' MacBook Pro

I've been instructed to download an .exe file of Windows XP Service Pack 3 in order to update a corrupted and restored Windows XP in Parallels on Bootcamp.
I downloaded to my MacBook and tried putting the .exe file in a folder and burning it to CD but received this message
"The disc could not be verified and might be unreliable. Try again using a new blank disc. (Error code 0x80020063)"
Is there a way to burn just the .exe file alone directly from its location in my Downloads file to the CD?

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