You are not giving me much to go on as you haven't really told me what you are doing except in vague terms.
Are you still in OSX 10.6.8 because it sounds like you are using 10.7 or 10.8.
In the Open dialog box there should be several options at the top of your dialog, iCloud is only one of them.
I am not running OSX 10.8 at the moment so can't give you a screen grab.
You should add other popular locations by dragging them into the Finder Sidebar which also appears in the dialog boxes.
To burn anything on a Mac, insert a CD/DVD, select a folder of your files, right mouse click and choose Burn "X" to disc. Disc Utility does the rest.
How long have you been using a Mac, and did you ever have anyone show you how to use it? Most PC users look for wizards etc which are redundant on the Mac as most, not all, functions are more direct.
I still don't get why you are wasting a CD on a simple file transfer. I hope you have exported them to .doc or .pdf for your PC friends.
Peter