Jon Austin , Aug 23, 2007; 10:17 a.m.
What platform (WinXP, WinVista, Mac) do you use?
Windows XP natively supports burning to CD: just put a blank CD-R or CD-RW into your drive, insert your CF card, launch Windows Explorer, then drag and drop.
I haven't looked at Vista at all, but I wouldn't be surprised if it provides the same capability for DVDs in addition to CDs.
If the operating system you're using doesn't provide the capability you need, the big two Windows apps are Nero and Easy Media Creator. Both are fairly straightforward, although EMC seems to be geared more towards the less technically inclined.