Did you uninstall it or just forget where it is?
If you just lost it or deleted the shortcuts, then you might be able to find it. Start up Windows Explorer (right-click on the Start button and pick Explore All Users). In C:\Program Files look for a Roxio folder. In there somewhere, there should be a file that will probably be quite big and if you double-click it, roxio will start up. Also look for anything that looks like it might do the trick (quickstart.exe or stuff like that).
If it's gone, then as The_Mac_Lad said, Windows Media Player will do it and it's free. The latest version is WMP 10 and can be got from www.microsoft.com/windows/windowsmedia/download/
It is likely that you have it already though, have a look on your Start menu under Programs or even Programs / Accesories / Entertainment. WMP10 has a "Burn" tab and is very easy to use.