Let me point out first that this option is not available in the 64-bit version of LR, only the 32-bit version. This is true in LR 3, I'm not sure about previous versions.
As you select EXPORT from the lower left portion of the screen in the LIBRARY module (or from the File option on the tool bar), you will get this window:
Please note the pull-down box with the destination options were opened for this blog and will usually only display the current selection You'll have to click to open the pull-down menu.
After selecting the CD/DVD option and making any other selections you need to make prior to exporting, choose the EXPORT button near the bottom right of the window.
This will pull up this window:
As may be obvious, this is where you select the drive to which the files will be exported. Many computers have multiple CD or DVD burners and here's where you make your choice along with selecting the burn speed.
Next this window will appear:
This is your chance to label the CD/DVD. Enter the label or simply select CONTINUE.
LR will then show on the top left portion of the screen this indicating that the files are being prepared before writing them to the disk.
Then, the last step, the files will be burned to the disk.
After this process is complete, LR will return you to the LIBRARY module.
If you are using a 64-bit version of LR, forget the above! Simply EXPORT the files to a location on your hard drive and then later copy them to a CD/DVD using Windows or your Apple operating system's file handling features.
As always, I hope this helps! Let me know if you have any questions.