MoonShadow,
What is the purpose of the CD? If it will only be used in iPhoto, then what kgarner said is absolutely correct; burn the CD in iPhoto, and (depending on what you select to burn to the CD) pictures in the albums should be in the correct order. If, on the other hand, you want to take this CD to a Windows machine, or view it with software other than iPhoto, it won't work. Sorry, I misunderstood your initial question.
Regards,
Marc