Well there are several ways of doing this, actually. There are so many programs out there that burn music onto audio cds (i.e. Nero, iTunes, Windows Media Player, ect.). My favorite is to create a playlist on iTunes and burn it from there, which is the easiest to do when you have a Mac. If you have a Windows based computer, I would go the free route and use Windows Media Player. You can either go into the Windows Media Player and drag your audio files into the "Burn Cd" option, or go into "My Computer" select the Blank Audio Cd (Should appear in place of your Drive which you inserted it in), from here just drag the audio music files you wish to burn and off to the left you will see a "Write these files to CD" upon selecting this it will take you to a Burn Wizard. Make sure you select audio cd, rather than data cd (data cd can only be listened to if your cd player is mp3 compatible). From there it will take you to Windows Media Player, and your music will appear on the right side of the screen in what looks like a sidebar to Windows Media Player, verify that all your music is there that you want to burn and hit the "burn" option below.

If you still have questions, refer to these nifty sites that tell you how to burn using iTunes and Windows Media Player 10 (they are in a neater manner, and more in depth):

http://www.microsoft.com/windows/windowsmedia/knowledgecenter/howto/burn_how_to.aspx

http://support.apple.com/kb/TA38263

Any further questions, may be directed to me personally.