[edit] Steps

Place blank readable/writable CD into the burner drive.
Open a file that you need to burn with Windows Explorer. On the left side of the screen, you have the different folders from My Computer.
Open the actual music file or data file on the right side of the screen.
Select one or more files that you need to burn.
Drag the file from the right side of the screen and drop it on the left side of the screen on the CDRW Drive. You can also right click on a file and use "send to" to copy to the CDRW drive.
Close the window. A balloon will pop up in the notification window indicating that there are files waiting to be burned.
Click on the balloon or open My Computer, and right click the Burner drive and click Copy to CD.
Click on Next and Finish.

[edit] Tips

Use a branded CD rather than using a normal one.
Do not use any application while the burning is going on.
Before creating a CD you must decide on the type. It can be Audio or Data. An Audio CD is the type you buy in the store and contains a little over an hour of music. A Data CD can contain any type of file. If you create a Data CD containing only MP3 or WMA files they can be played on many newer players. A Data CD can contain hundreds of songs.
Some older players cannot play CD-RW discs, so if you are creating a music CD, be sure to use a CD-R. Being re-writable, CD-RWs are useful to test burn or temporarily store data. On the other hand, CD-Rs are not re-writable, so your data is permanently stored onto the disc. If you do store personal or confidential data onto CD-Rs, you may want to invest in a Compact Disc Eraser to wipe out that data later on down the road.