This is a new computer? If so software to copy to CD/DVD was included and
you are expected to use it to copy photos (copy data) to CD/DVD
This is an old computer? You upgraded to XP? You need to download the driver
for your CD drive.
None of the above? It did work before but it is not working now?
Instead of using the Copy to CD command under XP, select the photos and
right click on them. On the opening menu, click on Send to. On the opening
menu, see if you have something like "drag to CD drive". If so, click on it
to start the copying process.