Don't be worried!!! I thought the same thing when one day I went to burn a disk and the next I did it again but everything was now a bunch of little arrows. Just accept it ... it's a way to prevent you from having duplicates of large files all around your machine.
It's actually a really good idea!!!! ... if you are like me, as I collect stuff to burn I will move the items to a folder entitled "burn" on my desktop and once it's the 4GB I need then I burn it. This isn't good to have all these large files on your desktop ...
What's neat about the alias thing is that it won't actually copy or duplicate the files, but it will correctly calculate the amount of space on the disc your file will take up.
One word of advice ... don't more the original files until you create the CD because the alias will not be able to find your originals and will only tell you this halfway thru the burn cycle.
Lastly ... if you press CONTROL + CLICK it will give you the options panel, and the 2nd option from the top is CREATE NEW BURN FOLDER. This will automatically give you the "alias" folders as you "drag" stuff over and in. THEN, when it's ready to go to disc, click on the burn folder and you will see your trash can become the BURN CD / DVD / DATA DISC icon. Drag it there and follow the prompts for loading in blank media, etc.
Good Luck!