Windows Live Photo Gallery can burn photos to a CD quickly and easily, providing that you have a CD burner in your computer.
To do this, select photos that you would like to put on CD. You can select multiple photos by holding CTRL while you click each photo, or select the first photo, hold shift, and click the last photo. Dragging a selection window over photos you'd like to select works as well.
From the Make menu, select Burn a Data CD...

In Windows XP, an info balloon will appear near the clock on the taskbar. Clicking it will bring up a window with files that are ready to be burned to CD.

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