When a blank CD or DVD is handled by the Finder, a special burn folder is created for that disc which appears on the Desktop or in the Finder sidebar. Burn folders in OS X usually are static folders that remain until you remove them, but the ones representing optical discs should be created when the disc is inserted, and then destroyed when the disc is either ejected or burned. Despite this, some people may find that after managing a number of blank CDs or DVDs, the Finder will retain a few burn folders in the sidebar that are labeled "Untitled CD" or "Untitled DVD" followed by a trailing number and a burn symbol.
These folders result from the system failing to remove the disc's burn folder reference from the sidebar when the disc is ejected or burned. When this happens, you can usually just drag the folders out of the sidebar, and they will disappear in a puff of smoke.
If the problem persists and the burn folders keep adding up in the sidebar, you can try removing some relevant preference files from the system to see if they help fix the problem. Go to the /username/Library/Preferences/ folder and remove the files labeled "com.apple.finder.plist" and "com.apple.sidebarlists.plist" and then either log out and log back in or use the Force-Quit option (Command-Option-Escape) to relaunch the Finder.
In addition to removing preference files, if you don't want to use the sidebar for managing CDs and DVDs you can go to the Finder preferences and uncheck the option to show CDs, DVDs, and iPods in the sidebar to prevent them from appearing there in the first place.