I am not sure what you mean by automatic back up. I use Quicken 2004 in W7 HP and back up my data each time I exit by clicking on the backup button and save it a to separate partition on one of my hard drives. I then use Acronis True Image 2010 to back up that drive to an external device.
What the Quicken help file says about CD backup is:
Before you can back up to CD-R or CD-RW, you must configure your CD-RW drive to work like an alternate hard disk drive. When you're done, you should be able to copy files from your hard disk drive to a CD-R or CD-RW. In addition, for many operating systems, you must install a third-party programme to enable your computer to copy files from your hard disk drive to a CD-R or CD-RW.
Do this clarify anything? Perhaps you should consider using a USB stick rather than CD.