Burning - Burning is the term for creating your own CD or DVD using your computer.
Burning allows you to create your own music, data, or video CDs or DVDs from your computer. While there are many programs used to burn discs, iTunes and the Mac OS Finder programs both have burning features built in. On Windows, you can use iTunes or any number of third-party programs to burn CDs or DVDs.
For instance, if you wish to make a mix CD that contains songs from a number of different CDs, you'd assemble this CD in iTunes or a similar program, and then insert a blank CD or DVD and record the songs onto the disc. The process of recording is called burning.
So, if you recorded your own custom mix CD with your computer, you would say that you "burned" that CD (though the term applies to all kinds of CDs or DVDs you make, not just music).