The answer to your first question depends on whether you selected Vl-hot or HAL during the install. If you selected Vl-hot, you need to mount the CD when a disk is inserted. The easiest way is to use the 'devices' icon on the panel - put the CD in, then open devices and click the /dev/cdrom -> /mnt/cdrom link.
If you selected HAL, the CD should automount and open Thunar when you insert a CD.
To add icons to the desktop, have a look at the Desktop directory under your home directory - properties for the icons are specified in xxx.desktop files, so you can create your own by creating suitable xx.desktop files.
To add icons to the panel, right click with the mouse cursor on it, then select Add New Item > Launcher and fill in the details to specify the program, name, icon, etc.