If your Mac has an internal CD, then you have a program called "CD Burner" already installed. If not, then your external CD came with some sort of software for burning.

Toast, esp. Toast Titanium, is a commercial program with more bells and whistles, especially for video. It can convert from and into various formats as it burns.

These two programs work differently. In CD Burner, you create a virtual volume that is then burned onto the CD. Insert a blank CD, give it a title, choose the type of CD you wish to create, then drag whatever files you want to burn onto the icon on the desktop, just as you would a floppy diskette. You may change the appearance (list, icon, etc.) as you can any Mac window. Once you decide to burn, then a disk image is saved, and then the actual burning process begins.

Toast burns directly from the files without saving an image first, or rather a cache it creates on the fly. It's faster, but often doesn't play nicely with other apps, so don't try to burn in the background, at least in 9.

If you want to play your music on your computer, then you want to create a regular data CD. There are also choices for audio CD (which decompresses the mp3 to aiff, that is, regular music CD format) which will play in most CD players and a format for an mp3 player. These later two formats can contain fewer songs than a regular data CD, so watch your limits.