To burn an audio CD:
1.
On the Start menu, point to All Programs, and then click Windows Media Player.
2.
Click Library.
You now see an expandable view of all the media items in your library.
If there are any items in the Now Playing list, clear the existing list to start fresh.
3.
Click Now Playing List, and then click Clear List.
The list is cleared, and you are ready to build a playlist that you will burn to a CD.
4.
Click Now Playing List, and then click Burn List.
Next, add songs to the Burn List.
5.
In the Contents pane, expand the All Music category by clicking the plus sign next to it, and then expand the Album category.
All albums in your library are displayed.
6.
Select an item.
7.
In the Details pane, press and hold the CTRL key, and click the songs you want to add to your list.
All albums in your library are displayed.
8.
Drag the selected songs to the Burn List.
9.
Repeat steps 6 through 8 until your Burn List is complete.
10.
To change the order of the Burn List, drag songs up or down in the list.
11.
Insert a blank CD-R disc in the CD drive.
12.
To make sure the songs you've selected will fit on your CD, look at the Total Time at the bottom of your Burn List, and compare it with the total time the CD can hold. Most CDs can hold up to 80 minutes of music.
13.
To remove a song from the Burn List, right-click the song title, and then click Remove from List.
14.
Click the Start Burn drop-down arrow at the bottom of the screen, and make sure that Audio CD is selected.
15.
Click Start Burn to burn your songs to the CD.
When your computer finishes burning your songs, it ejects your CD. You now have your own custom music CD.

This is assuming you run winblows

Source: Because I couldn't be bothered typing it all.