Or .. you can save yourself the 390 meg Nero 9 download and get this little program called InfraRecord - only 3.6 megs and works just as well. You get to browse for the files, drag them to the window at the bottom and hit record. Pretty easy and efficient (plus support for stuff like UDF file systems for those that want that)
I am using Nero 6 which I got with my old PC. XP has no such feature and this laptop did not come with an application.
Vista has a "BURN" in the taskbar in Win Explorer.