Not sure what you're asking...do you want to encrypt the files on your HD or the ones on the CD?
Best solution (for both) is to get a copy of PGP Disk.
Create a PGP Disk on your HD, and put all your data on the PGP disk (image). Then, when you want to back it up, burn the PGP disk image, NOT the real files, and then you'll have the PGP disk image on your CD. Take it home, load PGP Disk on your home PC, and you should be able to mount the PGP Disk Image on the CD.
Alternatively, you could use PGP Disk as above, and when burning time comes, open the PGP Disk Image, and burn the individual files to the CD-R. Encrypted on HD, decrypted on CD.