There are several options.
One is dependent on you having MS Word, and having a basic understanding of mail merge. If so, click here and choose one of the CD labels. Choose to 'Edit in MS Word', and insert a mail merge field within a text box, positioned wherever you want on the label.
Then merge in a list of records containing just the entries from 00001 to 01000 (or whatever).
Obviously, you would need to change the default template to one that showed your company logo, software title etc.
Fairly straightforward if you have the software and the knowledge.