If:
It is an internal hard drive - Copy (ctrl + c), paste (ctrl + v)
if it is an external hard drive - " "
if it is a dvd/cd drive. insert the correct disc (blank) into the drive, you can then use special software to burn the files to the disc, or use the windows "write to disc" feature.
software ive used; convertXtoDVD (media files), CDburnerXP (all files).
if ur using the windows feature, select the files you want, right click, and send to D: (or whatever drive letter your optical drive is).
but as 'PhilFrisbie' said, we neeed more details to help you out.