welcome to LQ!!
What distro (version) of Linux are you running? The modern ones will typically automount a CD and put up a dialog asking what you want to do. If you are not seeing this, then look in places like "my computer" (typically a desktop icon), or in /mnt or /media.
If you can't find anything, you can track it down in a terminal. Before taking you down that road, give us more info on the distro and what you can find using the GUI tools.