Writing to a CD or DVD may be useful for backing up your important documents. To do this, your computer must have a CD or DVD writer.
A simple way to check what sort of CD or DVD drive your computer has is to choose Places ▸ Computer from the top panel menubar. If the icon for your CD drive has terms like "CD-RW" or "DVD(+-)R" in its label, then your computer is able to write discs.
You can start choosing files to burn to a disc at any time. The file manager provides a special folder for files and folders that you wish to write to a CD or DVD. From there you can easily write all of the content (which you place in this special folder) to a CD or DVD.