You need to use a disk burning program.... Under KDE this is "K3B", under gnome I think it is "Brasero" or similar.
Open the program, select the files to add to the image to burn - the programs usually give some indicator of the total size of files added in relation to the blank CD or DVD inserted and finally hit "burn" for the ISO image to be created and burnt onto the CD/DVD.
(Under K3B, you select "New Data Project" and then simply drag the files from the top pane to the bottom one and hit the "burn" button when satisfied. Brasero works in a similar "create" and "drag&drop" manner.)
"Automatic" burning by drag and drop onto a DVD or CD desktop icon is not, I believe, currently supported by gnome or KDE.