Ok.. you are missing a folder from your desktop after trying to drag it to a CD that's mounted on the desktop? And now it's disappeared.
Firist, when posting a question would you please indicate which Mac OS? If you aren't certain, go to the Apple logo top left of your desktop. Drag to: About this Mac. Just under where it says: Mac OS just under that it should show the version. Based on the fact that you said you used the "find" command to search for the folder, I will assume you might be on an older version such as 8.6 - 9.2 or so??? If this is the case, try this: Go to Macintosh HD>System Folder>Preferences. In the Preferences folder look for this file: Finder Preferences. Trash that file and only that file. Reboot your iMac and see if the folder reappears. Sometimes the Finder database can become corrupted and trashing the Finder Preferences file will do the trick. Now, if you are using a later version of the Mac OS X 10.2 and up try this:
Go to: Macintosh HD>User>Library>Preferences>com.apple.finder.plist
Trash the com.apple.finder.plist file. Reboot the iMac. If the folder reappears you're in business. If it doesn't, repost and we can try something else. Make sure and indicate which OS though.. that's very important.
Hang in there,