So I have Unreal Engine game ready to play. I packaged it. How do I burn it into a CD, so when I insert it into xbox one, it plays automatically?

You can’t, to build games for Xbox One you have to get accepted into the Xbox developer program which will allow you to get an Xbox One development console, or you need to download the UE4 source with Universal Windows Platform support from Microsoft and compile that version of the editor which will allow you to run apps on a regular Xbox One.