Inserting a blank CD-R will usually do absolutely nothing -- and this is normal. Check your System Preferences under "CDs & DVDs" and see what the "When you insert a blank CD:" is set to. If it's set to "Ignore," then the behavior is perfectly normal. Changing it to "Ask what to do" will prompt you with a dialog box that pops up when you insert the blank CD asking you whether you want to "Ignore" (in case you want to use another application to burn the CD, like Toast or Disk Utility) or "Eject" is case you really didn't want to use the CD-R in the first place, or "Open [some application]". If you choose "Open Finder," then you can name the disk and the Finder should mount the CD-R on the desktop so you can drag and drop files onto the CD-R and the data will be burned when you eject the CD-R.