Easy with the right software. collect and keep all the music you collect in a handy place (best stuff is MP3 - some awkward problems with WMV files (protection issues))
then you need burning software -the best is NERO (6 preferably DEFINATELY NOT 7)
but you can generally fing stuff like CDBurner/CDRom Burner always "burn" in the name- you'll find loads on free disks and on the net - do yourself a favour though - dont get one from limewire- its probably a fake and a virus
then use this software to make your cds - watch volume levels of songs though try to make sure they are all about the same volume or the finished cd will sound quiet.