any CD burning software will work fine, such as NERO or NTI CD Maker or Easy CD Creator. Whatever software you received with your burner should be fine.
when you go to make your cd, you will be making a new data cd, then depending on the layout of the software you can drag-n-drop the images to the window burning pane.
If you want to, you could sort the images into folders, and drop the folders into the compilation.
about the images, are they all from a digitial camera? or from the net, or images you created? What format are they in? the most common being bmp, jpeg (jpg), and gif. bmp files will be large, gif is mostly used for animation and low color images, jpeg is gives modest quality with smaller sizes. for alittle better quality, somewhere between a jpg and bmp is PNG, which was made to replace the gif format. the quality si much better in PNG, than in the jpeg.
if the images are from a camera and saved initially as a bmp file, you might wish to save (compress) them to PNG, you will need an app to do this. If quality is not the highest priority, then save as a jpeg at around 75%.
as for getting the software, you can usually download a free trial, i would suggest giving the NTI CD Maker a spin, it is very simple to use. Supports ROMEOR formatted filenames, (max 128 characters in filename).
NERO is a good app also, but does not have the ROMEO filename format, it uses Joliet, (max 64 characters per filename). Both apps are good, but i do feel the NTI is easier to use, as it has a simple 2 steps to burn.