MS Xp has the stuff built into it. Go to Windoze Explorer
and right click on the file(s) you want to copy and
select copy and then right click on the drive you want it
to go to and click paste, then when you have all the
files you want on the CD click on the copy to CD in the
upper left of the sidebar and it will burn them to the
CD.
Nero is also one to use if you don't want to use Xp stuff.