One easy way to do this is to create a cue file from the mp3 files. Use a free burning program called ImgBurn. www.imgburn.com
Here is the guide for doing this: http://forum.imgburn.com/index.php?showtopic=5555
And I’ll go through it here too. Download and install ImgBurn. When you start the program, select [I]Write image file to disc[/I]. Then click on Tools at the top of the window, then Create Cue file.
This brings up a new window where you import all the mp3 files. Click on the little folder icon near the top right to find the mp3 files and bring them into this window. Once in, click Ok.
What you have at this point is a cue file in the same location as the mp3 files. Put a blank cd in the drive, set the writing speed to 16x and import the cue file into ImgBurn (you should already be in Write mode). Start burning to the disk by clicking on the big disc icon in the main window of ImgBurn.