Or use a product like Nero to copy folders containing many pictures to a CD or DVD.
I usually put all the pictures I want to put on CD/DVD into one folder, then go into Nero (or whatever tool you use), select "Create CD" then select that folder and the folder and all the pictures in it should be copied to CD/DVD.
The aforementioned Nero is a well-known CD creating program. For a free program try CDBurnerXP http://cdburnerxp.se/
It offers many similar features, including a basic "Wizard" for quickly doing what you want to do, including backing up photos and other files to a CD.