What program are you using?
Here's a general process-
1. Stick a blank CD-R or DVD-R in your writable drive.
2. Open your burning software
3. Select what kind of CD you want to burn(Data is for files, such as session documents/Audio is for audio cds that you can play in your CD player/and Copy will allow you to make an exact copy of another CD if you have two drives)
4. Drag in the files or select the files you wish to burn in their browser
5. Double check to make sure that is what you want to burn.
6. Hit burn (some have a record button instead)
7. When the CD is done, you're golden.