Open the CDG file, right click the files to burn, choose "send to" and then select the CD drive, click "start" and then double click the blank CD, open the CD Writing Wizard and then click "next." Once the burning process ends, the CD self-ejects. If the CD does not come out by itself, wait until the process is over completely and manually eject the CD.
CDG files are ideal for things like karaoke CDs because they can contain both audio files and graphics. A blank CD that supports the CDG format is necessary to successfully burn the CD.