Not sure what you mean by APPLICATION.
If you have nothing on the desktop then the Mac has not finished booting up. This is usually due to a corrupt file somewhere. I'll be back on that one.
If the problem above is a constant thing, then you obviously will not get the CD to appear on the desktop. If you have exaggerated the second problem, and it only happens occasionally, then check the check the Finder preferences / General and check that you have a check mark for everything under "Show these items on the desktop"
It would be nice if you were to share details like the version of the OS you are using. Tiger, Leopard and whether they are up to date
I have 3 issues with my macbookpro, APPLICATION doesn't work, I can't open or realaunch FINDER and nothing shows up in my desktop. When I insert a Cd or DVD it doesn't show either in the desktop, Everything is Empty.