Marvin42 - I have a Canon Model-IP4500i purchased specifically because it printed CD's.
I had a lot of difficulties initially - finding the slot to put it in wasn't easy - also the CD doesn't go in completely until you start printing. So persevere Marvin make sure you put the CD holder in with the arrow pointing inwards.
Canon have a very good help desk too - I'm sure they will help you if you continue to experience problems. Oh and the results are very good when you get there! Brambles