Im assuming you have a blank cd-R (or -RW). you can either drag and drop or click on the folder and click burn. The cd/dvd player should ask you how you want to use the cd (either as a usb, or as a cd) click cd so that at the end the session is finalized.
How many pics? how big are the folders?, etc
We really need a lot more info to help you more. Hope this gets ou started
Ken