There are many different pieces of software you can use, but the latest version of Windows Media Player will convert mp3's and burn them onto your CD in the right format for playing on any CD player. You can download Windows Media Player free here.
Just simply put the files you want in the play list and click on burn files at the top of the screen and it will then convert the files to .cda, and allow you to put them on a CD.
If you need any further help with this, please see the Windows Media Player help section.
** One thing to note - a blank CD is also known as a CD-R. This is what you need to burn an audio CD. If you have a CD-RW, it will not work. You can check what kind you have on the CD itself as it's usually stated in large letters.