You can burn audio cds with Windows media player....
To burn your own CD
On the File menu, point to CDs and Devices, and then click Burn Audio CD.
The Burn feature is displayed.
In the Items to Burn pane (the left side of Burn), select the playlist in your library that contains the digital media files that you want to burn.
To add digital media files from other playlists or categories in your library to the playlist of items to burn, or to remove items from the playlist, click the Edit Playlist button .
The number of selected items and total time is displayed at the bottom of the Items to Burn pane.
If necessary, clear any check boxes for items that you do not want to burn.
Insert a blank CD-R or CD-RW in your CD drive.
If necessary, when using a CD-RW disc, click the Erase disk button to erase the CD.
If you want to change recording or data CD settings, such as the CD write speed or quality level, click the Display properties and settings button .
In the Items on Device pane (the right side of Burn), click one of the following:
Audio CD (This will be playable in the majority of cd players)
Data CD (If you click on this one it will transfer as the mp3 or wma and not convert it to audio cd.)
HighMAT Audio
Click the Start Burn button .
Notes
Before items are burned to your CD, they are inspected and, in some cases, converted to a different file type. This process takes several minutes.
Playback may be affected if you try to play an audio CD while also burning a CD. It is recommended that you do not try to perform any other actions while burning a CD.
If you are using a CD-R, you cannot burn additional tracks to the CD after burning is completed. If you are using a CD-RW, you can erase the entire CD before using the Player to burn items to the CD again.
You can rearrange the items in the Items to Burn pane by dragging them to the position that represents the order in which you want them to be burned.
If Will not fit appears next to selected items in the Items to Burn pane, the selected items are not burned to the CD. Will not fit appears next to selected tracks for audio CDs even if the total time of the tracks you selected exactly matches the CD length, because the Player inserts two seconds between the tracks that it burns to a CD.
The Player automatically converts a multichannel audio file to a stereo file (a process known as folding down) when you burn it to a CD.
This is taken from the Windows media player help file, but I would also consider using Nero, its far more versatile and quicker also....