To have a CD to burn, youre gonna need to, well, have a CD to burn. You can't just do it with any old used copy of whatever crap you have laying aronud, you'll need a proper CD-R. Getting these isn't super hard, but it's not like you can walk into a walmart and get them anymore.I reccomand yard sales, thrift stores with a wide selection, and other used-goods sellers for these. Alternativly, if you're really itching to get your hands on them, you can buy them new online. As a side note, you really do want these to be for music. It'll say on the box...probably, but if its not good for music then it's not going to sound like much when you put it in your player. It might even get stuck. CD-RWs are NOT good for this use, they will not work or jam something up. Theyre data discs first and foremost.
The other thing you'll need is a CD drive. If your laptop or desktop has one built in, you're in luck and can move right on ahead. If yours doesn't (and it probably won't nowadays), you'll probably find luck finding an external drive around the places listed earlier, the difference being that tech stores may carry these, as they're pretty useful for everyday computer users.
You'll need more than just the disc and a drive to burn it, however. The first thing you'll want to do is make sure you have some way to turn the audio you have into a format that any CD player should be able to understand, CD-DA. I'll explain how to use it soon, but for now here's the software you want. If you run Linux, ehhhhhhh I mean, I've heard you can do it from command line? So theres that I guess. If you run mac, I think theres a built in feature to iTunes, and if you're running mac thats on there already.
Now this part is the most technical part of the process. In all honesty, you may want to double check what im saying here against any instructions you can find, or the way the software is set up. Plus unless you're using CDRtools this might be confusing or overly complicated. It's the software I use, I haven't used any others.
So, with that disclaimer out of the way, you're going to want to select "Audio CD", and drag your files in from wherever you have them. I mostly use mp3 because honestly my hearing is shit and my speakers are worse so I cant tell the differance between a .mp3, .wav, or a .flac, but if it matters to you hey it matters to you. The format of CD Audio is lossless compression so theres room for the audiophiles in here too. Anyway once all your files are in there, you can right click on them to move them up or down in the sequence, and then click on "Tracks" to set the metadata for each song and the album as a whole. Then, select your disc drive up top from a drop-down menu, and hit start! The software should start burining just like that. When it's done writing the drive should pop out, giving you your hot and ready shiny new CD! Use it wisely
Now I'm a lazy ass and just like to sharpie on the name of the disc right on the upper side. If you're feeling more fancy - or you're burning and selling your own albums from home - you might think about getting printable stikers for the disc tops. This is good for brandnig and organization, plus people love some pretty pictures. While I've never looked into this myself, I'll drop a link here with an explanaion if I ever do.
Ciao!