You give us no idea how you are actually doing this so we will have to guess.
If you are using a program like Nero or Roxio then photos are considered "data" so in the Nero or Roxio options you need to choose something "make a data disk" or "move data to disk".
If your photos are stored in MY PICTURES bring this file up.
Click on the photo to highlight it.
On the left Menu you should see COPY TO CD.
Click on this and the wizard will guide you through it.
But as vehelpfulguy says, you don't say what you are using.
The process I have laid down, is using Windows XP and assuming your photos are stored in the document MY PICTURES.