First save the files you want to put on your CD as Wave files. See the section How to create a Wave file for a description of how to do this.
To burn your files to CD you will need a CD drive that allows you to write to CDs, and a writeable CD. You can use any of a variety of CD burning software, including the Windows Media Player, which is free and included in the Windows operating system.
To create an audio CD using the Windows Media Player, first add the files you want to put on the CD to the Media library. From the File menu, choose Add to Media Library, then Add File. Select the files you want from the Open File dialog that appears.
Once your files are included in the Media library, it is convenient to set the artist, album and composer for your files. To do this, choose Media Library from the group of tabs on the left, then All Audio from the left panel. In the right panel, find your files and set the artist, album and composer, by first clicking on the file to select it, then clicking on the field you want to change to edit it.
Select the files you want to include on your audio CD by choosing the album you have assigned to each of your files in the left panel under Album. Choose Copy to CD or Device from the group of tabs. Make sure there is a writeable CD in your CD drive and then click on the red Copy Music button in the top left corner. Your tracks will be converted to audio CD format and written to the CD.