Me bad it seems. Not used it to burn but seeing as you can make a movie with it i assumed it had a tab to burn, it does not...as I said, me bad.
Not sure if you have Windows Movie Maker but that has the facility to import photos and the facility to burn CD and Dvds. I have used it to make family vids and added music and titles so it may well offer that option for photos or if not use Picasa (great simple utility I reckon) and export that file to a folder and then import and burn with Movie Maker.
As was suggested a simple drag and drop to the CD should also work.