It may help us if you told us WHERE you clicked Burn.
Normally with any sort of CD/DVD creation program you need to:
1) Put blank CD/DVD in the drive
2) Start the program you want to use to burn the CD/DVD
3) Within the burn program select the files you want to add to the CD/DVD
4) Once all the files are listed in the program, THEN press Burn.
5) The burn process on a CD or DVD should only take a few minutes. The program will normally give you some messages saying the burn is taking place, then issue a message saying something like "burn complete".