You first want to publish your project to create an executable (See you previous post about compressing images for some publishing options).
Publishing to an executable will mean less post publish work when burning to CD as all the Xtras and supporting files will be added to the executable during the publishing process... otherwise, if you find it's slow to load from CD (this usually happens when you have a lot of assets/Xtras to load into memory or unpack) then you might want to look at building a fast load using a stub... here's an older article about this:
with D11.5, in addition to the DLL's in the list from the link above, you have to include two additional DLL's:
Just to expand on Chunick's reply, I have a stub projector tutorial that covers the publishing process in a more comprehensive way that the Adobe technote (it is D10 though) at:
Ibrahim - if you have a projector linked to Director movies and you want these DIRs protected, from the Xtras menu in Director, choose 'Update Movie' and then choose 'Protect' in the dialog box. Before you do this, I'd suggest you make your own backup of the DIRs outside Director. When you protect movies, the DIRs will be converted to DXRs and these files will not open in Director.