problem moving pictures to disk

I was going to transfer my photos and pictures to disk, when I've done this before I've just dragged them from My Pictures on the C drive to a blank CD-R disc in the M drive but today it wont allow me to do that. I just get an unpleasant noise and an error box stating that the file cannot be transfered as the disc may be full or file protected.

It's better to use a program like Nero Burning Rom to burn your CDs, instead of the windows built in one.