The audio CD has a standard format for music you put in it. Normal CD players only read this format - not MP3s , WAVs, or whatever. If you intend to burn your msuic for playing on a standar player, you should use some software for this conversion first.
When all the audio is at standard format, you can burn it. however, you're going to need some software that is aware that you are burning an AUDIO CD, not a DATA CD.
Please note that all this is not necessary in some modern audio players, because they can decode non-standard audio formats, such as MP3. It is easy to check your player's capability - it is usually written in the front - |reads MP3| or something.
For software, there are various options. I would recommend ImgBurn for burning the audio (look for 'Create a Cue file' inside the software), as a free alternative. Other paid software exist, such as Nero.