Use the elliptical marquee, hold alt+shift as you drag to constrain it to a perfect circle from center. If necessary, nudge the marquee with the arrow keys.
Use "add to selection"
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for the second CD. Finally, use "subtract from selection" to punch out the holes in the middle.
With the selection all set, copy + paste to put that on a separate layer surrounded by transparency.
Now you need to delete the Background layer, and to do that you must turn it into a "live" layer first by double-clicking it in the Layers panel.
Save to a format that supports transparency (psd,tiff,png but not jpeg).