Ok, I'll try and give you the short version.
You can't do anything with a CD-ROM other than read it, just so that's clear - your post didn't specify CD Recordable so I just wanted to make that distinction clear just in case.
You don't use a CD Recordable, or CD-R in the same way that you use a hard drive or a floppy or flash disk. You have to "burn" a CD-R with specific contents. Typically one would use a program like Nero Burning ROM to record data to a CD, be it data files or Audio content, in a single project once only. ImgBurn is free and may do the same, not sure though. Windows XP also has a CD Burning Wizard, but I personally don't like it because it screws up the dates on all the files it burns to CD. Windows Media Player also has a "Copy Audio to CD" function which is not without merit. More advanced users can add content to a CD multiple times by starting a Multisession, and ensuring that the burner does not finalize the disc until he or she is finished adding content to it, but you can only do this for data, not audio.
You can also get a CD-RW, CD ReWritable, which allows you to reuse the disc, but still it's not like with a floppy or a pen drive. If a disc is a CD-RW, you can burn it like a regular CD-R, up to its capacity, and then erase it completely to get a "fresh" disc that is blank.