To answer the original question the way I understood it, let me first rephrase what the OP wrote. Hope that would be helpful.
You have an old XP machine and another, new PC running Windows 7. You want to transfer files (it actually does not matter if they are from My Documents, or any other folder, there is nothing special about My Documents) from the old machine to the new one.
There are various ways to do this. You chose to burn you files on a disk and then in the new machine copy from that disk to your destination folder. That should certainly work, although I did not understand from your post, whether you actually succeeded in doing this or you had a problem.
Using a USB flash drive is another option, which would be somewhat simpler and possibly faster, but is essentially very similar - you first copy your files to some external media and then move them from that media to your new machine.
If your two machines are not connected to a network, the above are the only two options. If they are networked, then you can directly transfer files from one machine to another either by using Microsoft networking with file sharing or by using ftp or sftp. Please let us know if you need more details on how to do this.
Which method is "better" depends on the amount of data. If everything fits on a USB drive, I would go with that. But it's largely a matter of personal preference.