you need to have a cd burner, and a program to run it. I find nero is pretty good so just get the free version of nero burning rom at http://www.nero.com/us/index.html
install than find where your files are you do this by going into tools, options, savings. there there is a window with the address of your shared folder go through explorer into that folder and make a shortcut on your desktop. than open nero and go through the burning options using your own jugment and open the shortcut. from the shortcut selct the files you'd like to burn and drag them into the left window of nero and than click burn the 9th icon from the left (i think) and you done just make shure you have a cd in the drive