Whenever you have problems with a CD burner, always use CD-RW at first so you don't waste a lot of CD-R's.
Try putting in a new or unimportant CD-RW into the drive. If it is supposed to have data on it, check My Computer to check the CD to see what data is on it. Go into the software that came with the drive and there should be something that says "Erase blank media" or something like that. Run it. Now, check the My Computer or Explore the CD-RW. Did the data disappear?
Ok, maybe you don't have a CD-RW with data already; just a new one. Try using the Nero, Roxio, whatever program came with it to burn any file onto the disc. Go back to the icon in My Computer, and explore it. Did the data appear?
(By the way, do you have InCD or some other drive burner drag and drop program installed? Sometimes if you have two or more of these types of programs, they can conflict with each other. You might check your Task Manager to see what programs/processes are running in the background.)
What you may try if nothing else works is uninstalling all your burning programs that you can find. Re-install just the program(s) that came with your drive. They've been bundled with it, and should work. Basically, your problem is either software or hardware. I would be very suprised if a brand new CD or DVD "burner" drive would not burn out of the box because of a hardware problem!