If you are the author of the material on the DVD/CD (or in writing, or on the web, or any other form) then you are automatically granted copyright on your work as soon as you create it. But you need to protect your rights, and that starts with asserting your copyright on the work.
Make sure there is written on the CD itself as well as on the external case: (c) 2011 by {Your name} {Your contact address}. You can use the copyright symbol ©, the C in brackets, or the word Copyright. The address is optional, but it’s pretty darned hard for someone to contact you without it. Make sure this is a permanent address, or one that you will have some way of receiving years from now when a movie producer wants to license your song for their latest blockbuster.
It’s not a bad idea, if it is a data CD, to put a Readme.txt file on the disk stating your copyright, the terms and conditions of use, and contact information.
There are various things you can do to register your copyright, this will vary by the country you are in and what type of materials you are publishing.
If it is a song, you should consider registering with a Performing Rights Organization
BMI (USA): http://www.bmi.com/career/entry/533748
ASCAP (USA): http://en.wikipedia.org/wiki/ASCAP
SOCAN (Canada): http://www.socan.ca/
Others worldwide: http://www.socan.ca/jsp/en/resources/around_world.jsp
Now physically, what can you do to stop someone who possesses the CD from copying it, or copying the materials on it? Not very much. There are CD copy protection schemes, but they are designed for mass production, not for low volume individual use.
If your material is in text or print format, then you can make it into an Acrobat PDF file that has copy and paste disabled, and password protection if you wish. Even that is limited though – anything that can be displayed on a computer screen can be copied with a simple screen print.
US: http://www.copyright.gov/register/
Canada: http://www.pch.gc.ca/progs/ac-ca/progs/pda-cpb/faq-info/reg_e.cfm
Australia: http://www.copyright.org.au/information/introduction/registercopyright.htm
UK: http://www.copyrightservice.co.uk/copyright/p04_copyright_registration
Tips for Songwriters