Check your mother board, if it has 2 IDE sockets, you can use up to 4 connections of HDD, DVD, CDRs, what ever the case applies. IDE cable connectors come with two terminals in them while others only have one, ergo, 2 IDE sockets x 2 IDE cable input terminals = 4 connections.
Of course 1 connection is reserved for your HDD which is the master (if you onle have one HDD).
Set-up:
1. 1st IDE socket with one master + 1 slave (IDE0)
2. 2nd IDE socket with one master + 1 slave (IDE1)
3. You can use both the DVD burner and the DVD ROM in the 2nd IDE socket (IDE1)(assuming that you use the IDE0 for the HDD), but ensure that one is set to master while the other one is slave, check settings at the back of the CD/DVD drives, there is a small plastic jumper connector in it, you can change its setting into master, slave or cable select by selecting the right jumper setting (the jumper setting is also imprinted in the driver label).
If that is not the case since some MOBOs have only one IDE socket, you will need an external drive (PCI or USB what ever the case)