hard disk to cd

how to do burn game files from my hard disk to a cd. What files do I burn.
I believe I just downloaded cap. vs. snk on my hard disk but now i want to burn whatever files to a cd so i could play it on my dream cast. So how do i do it.
Im using Nero for my burner program and cd writer plus for my burner.
Could you email me at [email protected] cause I cant seem to read any posts.

Thanks