The CD-R offers an immense amount of storage space for a small price, but it has one failing. Information stored there is essentially "engraved" on the disk.
This means it cannot be easily erased. MSWord, therefore, will not write a file to a CD-R disk, since a MSWord document must be easily changeable.
The solution is pretty simple:
Insert the disk and click on the file you want to open. MSWord may complain that it is a "read only" file. Don't worry.
Save the document to "My Documents," and close MSWord.
Insert the CD-R again, note the drive letter, and drag your file from My Documents to the disk.
Open the disk, open the File menu, and select "Write files to disk."