do i finalize the disk when i use CDBurnerXP?

I'm not positive on the finalizing, but I think when you burn an ISO, it's an image, so it's most likely going to be automatically finalized. And regarding the appearance of the icon, that depends on which program has laid claim to the .ISO extension as to how it will look.

no program had set to it. if i double click on it it asks me which program i want to use to open it

Yes, it is using a default XP icon since it doesn't have an association. Change the icon to whatever you want, if you want to, but don't worry about it.