The simplist way is to put a blank cd in your cd/dvd drive. A cd icon will appear on the desktop. Drag you picture files to the cd icon. When done, right on cd icon. Click on burn.
There are lots of ways of doing this. You may need to do a different method. What do you want to do with the cd after you copy the picture to the cd?
I've found with many image transfers from the Finder that I have to do an "option + drag" to get the actual images to move (hold OPTION key while dragging). Otherwise, all I get on the CD are useless aliases.
If you are using a photo management program like iPhoto, Photoshop Elements, Google Picassa, or some program that came with your camera (like Nikon ViewNX). the best action is to use the program's built-in "export" function. It might also show as a "burn to disk" option
In addition to the info from others: put a blank disc into your optical drive. then go to the file/folders where your pictures are (assuming they are in a location separate from files kept for iPhoto). Highlight (select) the photos you want to transfer and then go to the Burn option on the Flie menu item in Finder. That should do it.
Another question: Do you want to burn to CD? Remember that CD's hold about 700 Mb of data whild DVD's hold up to 4 Gb of data (about 6x as much). And in today's world, 1 and 2 Terabyte Hard drives are available at affordable prices if your objective is storage/archiving. If your goal is transferring, then you might think about using flash drives.
Hope this helps.