My W2K installation is patched to SP4+, and CD drivers are up-to-date. I have never burned a file from Media Player, instead using the HP S/W that was supplied with the drive.
I'm not sure that the OS patches would be an issue, though, because the AVG error message was very specific: A warning of a conflict with an older version of Roxio CD and DVD Creator and a recommendation to visit the Roxio site for an engine update.
While installing AVG on my wife's W2K SP2, Media Player 9 machine today I encountered the same error. Hers is a new OS installation within the past two years, is very lean, and has never had a Roxio product installed on it.