Turn off the copy protection flags for all the tracks. The easiest way to do this is to option-click on any one of the tracks' CP squares. This will turn it off for them all in one step. Once you have completed this the CD should be ready. Then Jam will ask you what speed you want to burn at.
Previous versions are fine for burning data discs though.
So you're on a Mac, you have downloaded a show of SHN files from an Etree site. You know you must use Doug Hornig's Shorten for Macintosh to convert the SHN's to audio files which you can burn onto CD's. If you use the defaults in Doug Hornig's Shorten for Macintosh, it will automatically convert your SHN's to WAV's. On a Mac using Toast OEM 4.0.2 Standard, you must have AIFF's to burn as audio. Now reconvert your SHN's, and they will turn into .AIFF files.