If you don't have an archival tool, I would recommend using 7-zip, which you can get here.
Once installed, prepare a folder of files that you would like to password protect on CD, then perform the following:
- Right-click on this folder of files you prepared.
- In the pop-up menu, select "7-zip -> Add to archive..."
- Pick "zip" as the archive format.
- If this CD will be a backup, select "Store" for the compression level.
- Type in a password in the two encryption password fields and click 'OK'.
- Burn this password protected ZIP file to CD.
The reason I say use "Store" for the compression method for a backup is that if the CD gets an unreadable sector, the entire zip file could be rendered unreadable if it was compressed, where as with the store method, it should be possible to recover all the content from the zip file apart from any files within it directly affected by the bad sectors.