You mean burn mp3's to a CD in a format that the CD player will read? 2 ways.
1. Buy a cd player that reads MP3s.
2. All CD burning software worth its salt will convert mp3's automatically as long as you select the option "burn music/audio cd." The format read by CD players is a .wav file. It's substantially bigger than an mp3 (10x or so), so you'll only be able to fit maybe 15-20 songs on a CD.
Your burner should have come with a program like Nero or EasyCD Creator, both of these will convert automatically. If you don't have those, I believe Windows Media player can burn as well (never done it myself though). If not, a quick search on Google or Download.com for a CD burning program should give you a decent trial version of something.