The answer here depends, in part, upon the version of Windows that you're using and the software that you've got installed on your computer. That's because your computer has to 'burn' the CD; it can't just copy the files digitally in the same way that it would to a USB memory stick (or similar).
However I'll assume that your computer is configured to automatically commence the burning operation when you successfully drag the file onto the CD. (Not all are; that's why I can't guarantee that you won't need to open your computer's burning software first!).
So, what you require are two separate windows open, showing where the file currently is and where you want to copy it to.
Go to the folder where your documents are stored (i.e. 'My Documents' or whatever). The contents of that folder will be displayed in a window on your screen. If that Window occupies the whole of your screen click the overlapping squares symbol, at the top right, to make it smaller. Drag the edges a bit (by clicking on them and holding your left mouse button down) if needed, so that the window occupies just part of your screen.
Now go to 'Computer'. (With most versions of Windows you get there via the Start button). Then double-click on the icon for your CD drive. That will then show an empty window (because there's nothing on the CD). If necessary, resize that Window as well, so that you've now go two windows open side-by-side.
Then try to 'drag-&-drop' the relevant file.
(If that doesn't work for you, please tell us which version of Windows you're using and whether you've got any third-party burning software on your computer).