The wizard will guide you step by step through the process. On the last screen you will reach see something like the following:

Here you need to drag the collection icon (as circled in the screenshot) into your cd burning application. In this case, the Windows Xp blank cd window is shown. Then burn the cd using that software. (It doesn't hurt to keep the Photokeeper wizard open during this process.)

Once you burn your cd, you may no longer need to keep the collection on your hard drive, as it is just a copy. Check the "I have burnt a cd of this collection; please delete all of its files" checkbox and close the wizard.

Note that some cd burning applications take a while to close, and remain running in the background for a while even though the application window is no longer visible. These might still hold a lock on the collection files, so you might need to wait a little longer to give them time to close before closing the Collection Wizard.