Do you mean CD or DVD?
I seem to remember a long time ago a program that would save a video file to a CD, but they were really crappy as you can't fit a real movie on a CD.
If you mean DVD (or Blue-Ray) then you will have to have a disk burner on your PC and some software to use with it. There are many programs out there for free and even windows has a built in feature called "windows movie maker" but neither of those work as well as the ones you would buy, but they do work just fine for simple projects like just burning a movie.
When in whatever program you use, when it asks for the file just point it to your USB drive instead of your C drive or just move it to your C drive first, depending on your PC it may be faster.
How big is the file and what is the format? If you're talking about a home movie I advise you to read the instructions that came with your camers. If this is a commercial movie you will need a burner for DVDs not CD as the files are too big.
http://www.imgburn.com/ This is the best burning software I know of and it's free. It will work with any DVD burner. The tutorials are also great as well as entertaining.