By the way, do NOT use Windows' native CD burner. It sucks.
Instead, go and do yourself a favor and just download ImgBurn. It's really small. It's really simple to use. When you launch it, it gives you several options that include burning image files to a disc, as well as data files. You can also create image files from data files and back from discs.
For the more advanced user, you can run burns in test mode, verify them, set the speed at which to burn, and how many copies you'd like to make. Otherwise it's really easy. Just select files, and WRITE!
As simple as that. And totally free! ImgBurn.