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There must be a tab in the upper part that says "Burn", you click it and it should show you in the right side like if you were making a playlist, you just drag the items or playlists there and it should tell you how much it can hold. After that you just press burn.
If you meant something else than music, Windows media player can't do that, but Windows itself can do it, just open the folder explorer and open up the empty disc, drag the things you want to burn and then at the left side it should say "burn" or something.