Which version of PowerPoint are you using?

It sounds as if you're using Windows to burn the CD. That's fine, but I
can't help you with it that much, because I know very little about the CD
burning capability in Windows.

I can tell you that when you insert a blank disk, you usually see a boxfull
of program choices, but that's not really got anything to do with burning
the CD -- that's more Windows asking what you want to do with the CD.

For example, when I insert a blank CD here, I see the following options:

Open writable CD folder (using Windows Explorer)
Select media to copy to CD (using Windows Media Player)
Create a CD (using iTunes)
Take no Action

So if I wanted to burn files to CD, I would choose that first option, Open
writable CD folder (using Windows Explorer). That's basically the same as
double-clicking the CD drive in My Computer to open the temporary area where
the files are held. Then copy your files into that folder and hit the button
to write to CD.

It really irritates me that the Windows instructions / Help files don't take
this kind of thing into account. I mean, it's Windows' default setting to
prompt you with choices when you insert a blank CD, so why don't they tell
you what to do when that happens? Grrrr.

You can't save directly to a CD unless you have special software installed.
Save to your harddrive, then use your CD burning software (or Windows' CD
burning capability) to burn the files to CD.