First of all you have to have a special burner to burn CD-G's , and there are only a select few out there. Here is a website that gives you the info on what burners will work. The Plextor brand is the best one of all the brands there. Plus this site has the software you need to burn the CD-G's also.
http://www.goldenhawk.com Also from what I understand you have to have another kind of special software to convert CDG-S's from MP3 etc to .bin files. Hope this helps