Copyright law protects the exclusive rights of the owner of a copyrighted work, including the right to control the distribution and reproduction of the work. When you lend a copyrighted CD to a friend, you are essentially making a copy of the work and distributing it to your friend, which is a violation of the copyright owner's rights.
There are some exceptions to this rule, such as lending a copyrighted work to a family member or close friend for personal use, but these exceptions are narrowly defined and generally do not apply to lending copyrighted works to people who are not your family members or close friends.