I would like know if I have several contact sheets open if I can burn to a CD/DVD as if all the contact sheets were folders on the cd/dvd?
No, not if you open folders into individual contact sheet tabs. If you open each of the folders into a single contact sheet tab, then yes, you should be able to burn multiple folders onto a single disk (available space permitting.)
To open multiple folders into a single contact sheet tab, right-click on a folder in the Navigator or Favorites and choose one of the options that opens the folder into the current contact sheet.
HTH,
-Kirk