Yeah, its definetely possible. Just burn all your mp3's onto a data dvd using Nero, or the built in Win XP burning program. (Just put a blank dvd in your drive, go to my computer, click on whatever drive is your dvd-rw, and drag and drop the music files.) Also, there is another good program out there to do the same job. DeepBurner is a great free program that allows you to burn audio cds, data cds, iso image burning and has support for data cds/dvds. You could also just get a jump drive, and put all the songs there. They're relatively inexpensive and you can get like a 512mb drive for about 20 bucks.
Heres the link for DeepBurner, if you want to check it out.