It kind of depends which version of OS X you're using, but assuming it's 10.4. it goes like this:
To burn a data CD:
-Select the File menu in the finder and create a new Burn folder.
-Drag the files you want to burn in there and when you're done, insert a blank cd and hit burn.
To burn an audio CD:
-Create a new playlist in iTunes, add the songs you want to burn to it and then select the circular burn button at the top right corner.
To burn a photo CD:
-Select the pictures you want to burn in iPhoto, select 'Share' from the menu bar and then 'burn to cd/dvd'.
For more complex burning, you'll need a 3rd party program. Many members here like Toxio's Toast 7.