Ingenious is correct, but be aware that the result will only be usable in iPhoto. Are you looking to backup your library, or do you want to share with other people?
If you want to share, there are other ways. Export your events to iDVD and it will create a file that is playable on a standard DVD player -- it has an option to put the actual photo files on the disc as well, so that the recipient can access the photos. Or you can drag the events into disk utility and burn from there, or??? Lots of options. Tell us exactly how you want to use the CD's and we will give more help.