XP is very similar to W2K, so I'll give this a shot.
Go to Device Manager...on 2K, it's a right-click on My Computer on the desktop, then click Manage and go to Device Manager from there.
Once in Device Manger or what the app the shows the "nuts and bolts" of the PC from within XP is called, go to IDE ATA/ATAPI controllers. In there, there's a tab for Advanced settins that should show the current transfer mode and has a drop-down box that lets you pick.
My two Lite-on CDRs both auto-went to a "DMA if Available/Ultra DMA" setting. Most HDs will as well. From the proceedure above, you can check/set it. Good luck.
Oh, you may or may not know this, but if you have, say an ATA-100 (UDMA-5) hard drive and a CDR (UDMA-3, I believe) on the same IDE channel (i.e Master/Slave) that channel can only operate as fast as the slowest device on the chain. This is why I prefer RAID-equipped boards; even if you don't use the RAID features, you can have two HD's an two CDRs all as Masters on their own channels.
Hope this helped.