Some printers will actually print directly onto CDS. (My Epson model will). But, since you've not mentioned it, I'll assume that yours can't do so. (If it didn't come with a special tray, for putting the CD in, then it can't print onto CDs).
Otherwise any decent stationery store can sell you a pack of self-adhesive CD labels. However, to get the printing lined up perfectly you really need some appropriate software as well and, ideally, you need a little gizmo for applying them properly. That means forking out for a kit like this one:
http://www.staples.co...ry-cd-design-kit?r=se
If you're prepared to risk getting bubbles in the label, or not having it precisely centred, (so that you can do without the 'gizmo' referred to above), simply buy some CD labels from a stationers (or, occasionally, from 'pound shops') and use some free software:
http://download.cnet....6754.html?tag=mncol;4
Chris