Yuo can use WMP10 to burn CD. Open WMP, click the Copy to CD or Device button in the left pane. Next under Items to copy option box, select the playlist you want to burn to CD (you can also select "All Music", later you can check the songs to be burnt, and uncheck those you dont want), next insert blank CD, and click "Copy" button (which is a red coloured button).
For more help, you can take a look here
You can also use CD burning softwares like Nero, NTI, DeepBurner, CDBurnerXP.
CDBurnerXP is a good and free tool, which is very easy to use. Select the Audio CD option, and select the songs you want to burn, and ,yes!, burn them.