Unfortunately had you known that the Backup program isn't even designed to
backup to CD you would have avoided this problem in the first place. You can
find a possible work-around here
http://www.webtree.ca/windowsxp/saving_files_to_cd.htm but be forewarned
that the Backup program can't split files into chunks either. The full
featured version of Backup MyPC that the NTBackup app is a watered down
version of can backup directly to CD.
You will have to do a hard shutdown which shouldn't be a problem if you do
it very rarely. If you do it often though you will corrupt your system
files. Anyway just press and hold the power button in for about 4 to 5
seconds and the computer should power off. Some boxes have a power switch on
the back of the case next to where the power plug is inserted or you can
always pull the plug.