Standard files: Open the CD/DVD drive in (My) Computer, select the files you wish to copy, press ctrl + C, go to where you want them copied to, and press ctrl + P. (Standard copy-and-paste technique.)

Audio CDs: Use a program such as Windows Media Player to rip the songs to the folder of your choosing. (Look for the "Rip" tab along the top.)

Video DVDs: You need to download/install a DVD ripper as such is not provided by the operating system. You can find dozens of options on Cnet's own download.com, though most are trial versions only.

Hope this helps,
John