The Lenny packages, similar to the Etch, are listed for burning to CD, I think there are 31. I looked at the packages list and the download list and there is no co-relation, Which package is on which CD?

Then how do I install packages, just put in the CD and use apt? Any instructions?

The Lenny install cd is always a net-install. That means you install a bare basic system and update that online. The Debian dev's recommend aptitude over apt-get, so you might want to use that.

I've read the quote above many times and still can't figure out what exactly it is that you are saying, or trying to do.
It almost sounds like you want to transfer some packages downloaded from a computer with internet access to a Debian machine without internet access using a CD. Because if you're Debian has an internet connection you can use apt synaptic or aptitude to view all available packages and install any of them after setting up your sources list.

If indeed you want to burn package files to CD and install off that CD, you'll need to install using dpkg. Or copy the files to /var/cache/apt/archives and install with apt synaptic or aptitude. Or create a local repository (instructions in Apt Howto document), put the files in it and again install with apt synaptic or aptitude.
To install with dpkg, navigate to the directory containing the files on the CD via command line and install as root with this command:
If you get un-met dependency errors, the packages missing need to be installed first before installing the one that produced the error.

Not the ones I download and install the system with.
Net-install does not work on dial-up, I get the first DVD of the set to install a full functional system, then put it on-line and use apt to get obscure stuff, aptitude creates a bloated system, I use apt which helps keep my system lean and fast. When it becomes too bloated after many months or so, I use Jigdo to put together the latest DVD 1 snapshot of Lenny mostly with packages I have archived, avoiding much downloading, since I keep all Debian packages I've ever downloaded.
Then re-install fresh.

Thanks, I found a way to connect my trial/toying computer to broadband, and will use apt or aptitude. I will see which is best.

Otherwise I was trying to find out how to install by CDs from the repository.

Considering I am using Lenny, it will find the right packages by itself, Lenny packages from the correct date?

/etc/apt/apt.conf

How did you choose and find out how to work your programs?

Trial and error.

It also helps to make an image of a fresh installation of an OS, then you can go hard and hack away at your installation, if it becomes unstable or just down right ugly, wipe it off the drive and restore a copy of the fresh installation image, and you're back to square one.