First you need to make sure that you can access your drives. The best way to
do this is go to the settings of VirtualBox or whatever VM application that
you are using and make sure that you have allowed for them to be available
to you in the client (Windows). If you check Passthrough ( a good idea) in
Vbox then it will be available in both but not at the same time. If you put
a blank CD in while in Windows then it goes to the Windows side and if you
do it in Ubuntu then it is unavailable in Windows.

Try this with a data disk as a test before you try to burn a CD. Then you
will need a burning application for Windows installed, such as Nero or the
free CDBurnerXP. You can even use K3B since there is KDE for Windows.
http://windows.kde.org/ Then you should be able to burn a CD in Windows.
The big trick is to be able to access it. Passthrough should be able to take
care of that.

If you are using an external usb burner then it is more complicated. To use
an external usb device then you need the PUEL version of VirtualBox and not
the OSE version in the repositories. In this case, you just download it from
VirtualBox.org's website for free. Once it is installed the rest is the same
except that you control usb devices from the menu of VirtualBox or from the
status bar in the bottom right. It will show a usb icon and if you hover
over it then it will say. If you click on it then it will provide a list of
attached usb devices. To hand control over then you just click on that and
it will become checked and once Windows recognises it and makes it available
then you are in business.