How do I burn files (back up data files) to a CD-RW ?

Obviously, it's not like doing it with a floppy disk where you can just shove it in the machine and drag and drop. Either that, or something simply isn't working right for me.

Is there some type of translator/burner program that needs to be used? Basically, I'd like to back up my hard drive (or the data files, anyway) onto a CDRW.

Thanks,
Adam.