I have just tried the code below to burn all the Ogg files I had in D\:Temp, worked fine. Instead of create object, I added the reference to 'BaydenBurn Library for XPBurn' under 'Project - References'

Code:
Option Explicit
Private Brn As XPBurn

Private Sub Form_Load()
    Dim Path As String
    Set Brn = New XPBurn
    Path = Dir("D:\Temp\*.ogg")
    While Path <> ""
        Brn.AddFile ("D:\Temp\" & Path)
        Path = Dir()
    Wend
    Brn.StartBurn
End Sub