Start up nero -> Audio CD compilation.
Drag and drop an songs that you want onto it. Nero supports alot
MP3's, audio CD tracks, wma's (unprotected), wavs & miscellaneous.
Then just burn your Audio CD at 16x-24x (this is to reduce jitter which you can look up). You can fit 74 or 80 minutes of audio on an Audio CD, regardless of their size. Most CDR's are now 80minutes
DVD's are a bit different.
DVD's must use a specific video format, which requires some beefy processing.
However, nero recode should get you started, albeit it might take awhile.
If you feel like getting adventurous, or nero recode doesn't behave, you can also use other programs AVI2DVD (free) & DVDsanta ($$$).
The biggest Newbie mistake is to buy cheap discs. Cheap discs are cheap for a very good reason, and when you find out why, it turns out that they are actually quite expensive.
I find that using cheap disks is ok for anything unimportant that is required to last only a week and will only be used on a PC. Anything required for any longer or for any other reason, buy Taiyo Yuden or Mitsibushi / Verbatim DLP/Pastels (but not the plain datalife).
With TY's & Verbs you can guarantee that you won't have compatibility problems with standalone players too
Cheap & nasty discs's have:
a) Poor burn quality and hence slow playability, or in standalones, video playback becomes choppy, or pixellated (those funky squares).
b) Degrade in a very short term.
c) A high failure rate ... usually because of a), but occasionally serious Dye defects, or other nasty issues.