How can you play a blank CD or DVD if there is nothing on it? you can't copy to a CD or DVD you will need to burn the disc with a programme such as Nero.
Just as RATTER15 said but also - if you just want to drag and drop files onto the CDRW (or even copy and paste)), you need Nero's InCD or Roxio's Direct CD (Windows XP might allow you to do this) - this is known as 'packet writing' (I preferred the earlier method of formatting the CDRW first and then treating it like a giant floppy).
This all assumes that you have a CD/DVD writer and not just a DVD ROM.