When you insert a blank disk, the Finder 'should' bring up a dialog bo asking what to do with the disk. From that box you can choose Open Finder, which places it as a disk on your desktop and you drag files to it, or you can choose iDVD
if you ahve it, to burn a DVD, or you can choose iTunes to burn Music CD's.
Depends on what blank media is inserted and what applications you have installed.
If the dialog is not coming up then go to the System Preferences and choose CD's and DVD's icon. In here you can set what the Finder/Mac should do when blank media is inserted.
Hope this helps,
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