Summarize:

With Media Player open, insert a blank CD into your disc drive. You'll most likely want to be using a CD-R, as this is a basic CD used for burning audio tracks. Some sort of window with options may pop up, but close it for now. Click the tab at the top that says Burn. This will open a panel on the right side of your screen that will be the place where you drag the songs you want to burn. This tab does not start burning the CD, it simply opens the panel for you to make the song list. If you have made a playlist in media player ahead of time, you can drag the whole playlist and it will add to the Burn list. If you still need to search through your library and find them, do so and drag each one to the list separately. If you don't add them in the order you want them in, you can rearrange once they are in the Burn panel. This button will either be at the top under the tabs marked Play, Burn, and Sync, or it may be at the bottom of the window by itself. Once you click this, the program will start burning the CD automatically, so make sure you don't click it until you have the songs arranged how you want them. This can take 5-10 minutes depending on how many songs you have and how fast your computer is. The program should notify you when the CD is done. You can eject it and your CD is ready to listen.
Insert a blank CD. Click the Burn tab. Compile the playlist. Click Start Burn. Wait for the CD to burn.