Burning - Burning is the term used for creating your own, custom CD using your computer.
For instance, you may wish to make a mix CD that contains songs from a number of different CDs. You would assemble this CD in iTunes or a similar program, and then create the CD, recording the songs onto the blank disc. The process of recording the CD is called burning.
For example, if you recorded your own custom mix CD with your computer, you would say that you "burned" that CD.

