As DieSse says; and in addition I understand that Windows XP has its own "writer", but I've no experience of that as I use Nero on Windows ME. Basically, (unless XP makes my informatin completely wrong) you can't just copy to a CD/DVD as you do to a flppy disk. Sfter you've saved whatever-it-is somewhere on your computer you then need software such as Nero to , in effect, carry out the copying process. This copying is known as "burning", so if you have software that came with your PC that refers to "burning" that's what it's for. Of course , as DieSse says you need a CD writer and or DVD writer - note writer, not just player, but virtually all PCs now scome with at least a CD writer; it may be a combined CDwriter/DVD player, but if it's that you can at least write to CD., But just re-read the title of your thread - "how do you COPY CDs?". Never had occasion to do this, and some copying is illegal; but assuming it isn't in your case I'll leave this to those who have experience.
Nero - and Easy CD-Creator (the two big ones) have a copy facility built-in. I would assume that other similar software has similar facilities - but it's difficult to advise unless you give us a bit more information in the first place.
Nero Express is very inexpensive, and will do all you want in the way of CD/DVD work. Copying CDs is very simple. DVDs a tad more complex. Most commerecial DVDs have copy protection anyway, and legally you shouldn't be copying them.
There's loads of help in Nero on how to do these things.