1.On Windows XP open the window containing your photos.
2.Open another window showing your blank recordable CD.
3. Left click your photo & drag it to the CD window.
4. When all photos moved, burn CD.
There are many different ways of achieving same but its not easy for me to explain. Ask more, if you cant work this method out.
I use nero for that. Put your cd in cd-writer, open nero and drag and drop your photos on cd and then hit burn.
If you didn't use it until now it'd be a little hard for you but when you use it you'll figure it out... ;)