Connect New MacBook Pro to my time capsule can't find software CD

There is no need for CD nor do Macs use optical disks any longer.

If you need to use airport utility it is built into Mac OS.. still. As well as being an app available for iOS.

Just go to Applications/Utilities .. should still be there otherwise just search for it.

If the TC is already setup you don't need any software.. just connect to it via wireless. You can configure the laptop then to use TC for backups.. although honestly using Catalina there are far superior 3rd party backups now than Time Machine which has become very unreliable to network targets.

how do I backup my new mac book pro to thie capsule. I don't see anything that says backup.

Go to Applications/ Utilities and use Time Machine. (Unless you want to start right and download and use Carbon Copy Cloner as I suggested above).

Setting up Time Machine just follow the normal Apple instructions.

Google is your friend.

https://support.apple.com/en-us/guide/mac-help/mh35860/mac

There are lots of introductions to how you setup and run Time Machine.

It sounds like you have never used Mac before.. Apple has lots of tutorials on changing over from windows to Mac and it is worthwhile going through it.

What would you recommend besides time capsule?

Are you confusing backup target which is either a hard disk directly plugged into the computer.. by far the easiest, fastest and most reliable method. Or some sort of network target, like Time Capsule.

Or the software used for backup. In the Mac the built in backup is called Time Machine. Easy to get the two mixed up.

So the best target is USB drive plugged into the computer. Especially for Time Machine it is far more reliable than using network targets if less convenient for laptops you are carrying around with you.

Since Apple went out of the router business there are some routers that support Time Machine .. high end Asus and Synology models for example. And you can buy a NAS.. again the Synology stands as best.

Or for backup software many of us here stopped using Time Machine as primary backup due to its unreliable nature and moved to Carbon Copy Cloner. That is the one I recommend. I am not sponsored in anyway by them. I simply like their software and find it reliable and easy to use.