If you have Windows Media Player then go to tools (guess it's called that in english) and add media. Just search entire drive (you can always remove what you don't want later.

then choose Burn or Make CD (Again I don't know what it says in the english version )

Add the songs you want on the CD and press burn

It will convert automatically to CD format before burning

Press this link. It's for burning with Nero if you have that installed + some other info in the first post that you might find useful