The song must be converted from the format it is in (typically a compressed one like mp3, aac, vorbis, or wma) into the format used by audio CDs (which is uncompressed). This data must then be correctly written to a CD. Even though the music on CDs is digital data, it is written in a different way to the data on CD-ROMs - CD-ROMs contain extra error correction to ensure the data can be read exactly, while audio CDs forgo that in order to have greater playing time.
There are many programs that will handle the whole process, allowing you to select a variety of tracks and write them to a CD. Try Infrarecorder on Windows, or K3b on GNU/Linux.