Bad luck! Similar story to mine although my external CD Writer is Freecom.
First good thing I did was to switch from Roxio to Nero - which you already have.
Next, always check the bottom right hand corner of the Nero window to see that Nero has found your CD Drive. If it hasn't, no point in trying to write a disk; all you will get is an image file.
Check your hardware manager to see if the CD Drive is working properly. (In Windows 2000 this is: Right Click "My Computer"/Properties/Hardware Tab/Device Manager). If it's not you may be able to update the driver from the Mitsubishi CD.
Finally, what did it for me was going to Control Panel/Add Remove Hardware and deleting the multiple copies of the CD Drive that had somehow been loaded. First, of course, start up the Notebook with the CD Drive disconnected.
Then, with all mention of the External CD Writer removed, do your cold boot with the CD Writer connected and let Plug 'n Play do its stuff.
Nero and WMP may be fighting over the CD Writer. When I installed WMP, I rejected the option to burn CDs and I never use it for that purpose. Nero works perfectly first time every time.