First some questions and then the work around:

Do you have one or more than one CD or DVD drive installed on your system?  What
drive letter(s) are assigned to them and which one is the burner?  For example,
I have drive E: which is a DVD/CD burner and I have drive F: which is a CD
burner.  Windows will always write to drive E: when I use Package for CD.  By
the way, PowerPoint doesn't do the writing to CD.  It hands it off to Windows
for that task.

Work around:
Use Package to Folder and then use your CD burning software to burn the
*CONTENTS* of the folder to a CD.