You can use a CD-RW (not CD-R) like a hard drive or a floppy disk (i.e. with drag-&-drop enabled) if you choose the appropriate formatting option from whatever CD burning software you've got. You should note, however, that this CD will only be readable on another PC if that PC has compatible software. I used to do this, initially using software from Roxio and later using Nero. However, I encountered lots of problems with disks which suddenly refused to permit further files to be written to them or, worse, became unreadable. (I always managed to recover the files on the disks but this was a pain in the rear!). These days I just put all of the files I want to save into one folder an then burn that folder to a CD-R. (Cheaper, faster and, so far, no problems).
All of this, of course, assumes that your drive is actually writeable. A very basic CD drive is 'read only'. Assuming that you've actually got a CD-writer or CD-rewriter (rather than a simple CD drive) it almost certainly came with some sort of burning software. It's this that you'll have to use to get your files onto a CD-R.
Post again if you're still having problems.
Chris