I haven't thought about burning CDs in a long time, man that takes me back. Remember Nero Burning ROM?
I think the etymology of the term is that when you're writing data onto a disk you're shooting a laser onto it to alter the chemistry and change its color, for which "burning" the data into it makes sense.
Ah, that's what it was! I always thought it was just a different color for 0 and 1, today I learned! That makes more sense when I think about it.