Edit: I am also going to step outside of the box in this case and ask you to make sure your CD drive is actually capable of writing CDs (which would make it a CD-RW drive instead of a CD-ROM). I only do this because you asked a question that is suitable for the 1990s and not so much today.
You can't use the DOS copy command to write a file to a CD. CD's require that you queue up a series of files and then write them all at once(even if you only queue up one file). This is because CD's store data by burning it into the surface of the disk using a laser. The DOS copy command cannot do that because it is intended for use with devices that store the data instantaneously (i.e. HDD's, Floppies, removable hard disks, USB flash drives, USB hard drives, external SATA drives).