Depending on what OS you use, NERO or TOAST are two great applications to have for burning various stuff.
All you need to do is drag-and-drop into the appropriate fields and then click Burn Audio CD (not Data disc or .mp3 CD).
The format in CDs is .cda, but using such an app to burn an audio CD will automatically convert the files for you

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-