I don't understand what you mean by:
My internet connection is in Win XP.
Do you mean that your connection is not set up in Fedora yet? Most software that you install on Fedora and indeed Linux does tend to be online. Fedora packages are rpm (R
anager)files, if that is what you mean then you may want to download these and then burn them onto a DVD.
However I would strongly recommend getting your internet connection working on Fedora if for no other reason than to keep it up to date.