Did you have a look at the Stickys at the top of this section? Most of your answer is there!

If you want to burn a cd, then you'll need to transfer the music to a burner program. Ones like Nero or Roxio are the best. WMP & iTunes (click link) can both also burn cd's & both are free. So what you'd do is drag & drop the song files into the burner program interface.