I don't know which media is the most compatible with Nero, but I've had good experiences with Windows Media Player 7 (for my Win98 systems) and Windows Media Player 9 (for my WinXP systems).
I would be surprised if you didn't get Nero - Burning ROM when you buy the upgrade. As far as I know, there is no such thing as a retail version of Nero Express. Also, there is no difference between Nero - Burning ROM and Ahead Nero - Burning ROM. My guess is that different versions of the install program just report their names differently.