How do I uninstall this?

Are you sure you have downloaded it? I know you say you must have because it's not on the windows update screen, but if you read the link you posted it says "Microsoft has discontinued development on the HighMAT technology. Therefore, the HighMAT extension to the Microsoft Windows XP CD Writing Wizard is no longer offered by using Windows Update."
 
That 'copy all files to cd' is just part of XP's built in CD-burning software. Nothing to do with the Highmat extension. If you click on that it will just add any selected files to a folder to burn onto CD.

It's coming up because, I'm presuming from your screen shot, that G: is where you have your 'my videos' folder. It's like when you go to 'my music' you will see the same thing.
 
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