WMP (Windows Media player) should convert them automaticly before burning. At least it did when I last used it (+1 years ago).

If there is still an option that says burn audio CD in WMP, it should open a burnlist that you add songs to, and press you press burn, it will first say checking, then converting (or something like that) and then burn the CD as a normal audio CD.

WMP does not support id3-tags (the info on the files). So the result when playing the burned disk will only say track 1, track 2 etc.

Other burn programs like Nero will write the info on the CD as well. In case you have that program, there is a thread in the Gnutella forums Tips and tricks (Not the one in the Limewire forum)