Hey there. You don't give many details of your setup, but if you're using WinXP it's pretty easy. Just drag and drop the files you want to burn onto the burner icon in the Windows Explorer interface. Windoze will queue up the files, and then you can (I think) right-click on the drive and select "Burn files to disk now" or something like that.
If you are using a different O/S, you'll have to use a CD Burning utility like the previous respondant suggested. My personal preference is for Nero Burning Rom, available at
www.aheadnero.de in trialware and fully licensed commercial versions.
Enjoy!