In Windows, there are many ways to burn data (files, music, etc), with the built-in Windows Burning Manager, or third-party software.
Windows Built-in Burning Functions (Data disks)
Place a blank-disk (cd or dvd) into a Windows XP machine.
Windows will automatically detect the presence of a blank disk in the drive and pop up a menu with a variety of options to interact with the disk. Open Windows Explorer to explore the contents of the disk (or for now, lack there of).
In this explorer window, you can drag and drop any files that you wish to burn onto the disk. When finished, click the "Burn Disk" button in the upper right-hand corner of the window. This will bring up the burning status window and show you the status of the disk as the data is burned onto it.
When this is complete, windows will re-detect the disk as a data disk and bring it up in the "My Computer" section under your disk drive.
Third-party software
Third-party software can do many more things than just burn data disks, but each program varies in functionality extremely, so please refer to the documentation that came with your software for instructions.
Burning disk image files
In windows, only third-party software allows for the burning of disk image files (.iso, .bin/.cue, etc.)
See third-party software documentation of instructions.
Mac OS X
Mac OS X handles disk burning in a very simple fashion.
Mac Built-in Burning Functions (Data disks)
Place a blank-disk (cd or dvd) into a Mac OS X machine.
OS X will automatically detect the presence of a blank disk in the drive and pop up a window with a variety of options to interact with the disk. Choose "Open in Finder" to load the disk onto the desktop as if it were any other removeable drive.
In the Finder window, select the disk from the sidebar. You can drag and drop any files that you wish to burn onto the disk. When finished, click the "Burn Disk" button in the upper left-hand corner of the window. This will bring up the burning status window and show you the status of the disk as the data is burned onto it.
When this is complete, windows will re-detect the disk as a data disk and bring it up in the Finder and on the Desktop.
Third-party software
Third-party software can do many more things than just burn data disks, but each program varies in functionality extremely, so please refer to the documentation that came with your software for instructions.
Burning disk image files
Go to: Utilities > Disk Utility
Drag and drop the .iso, .img, or other disk image file into the sidebar of the Disk Utility window.
Select the image file in the sidebar and then click "Burn" in the upper left-hand corner of the window.
A window will pop up displaying the progress of the disk burning.
Linux/ Unix
Burning disks in Linux/ Unix is a varied experience, depending on your Window Manager and specific program. Here is a rundown of a few popular programs by window manager.