Within Nero it is possible to select MP3 files and burn them directly as an Audio CD.
Choose new cd, select Audio CD and then select the MP3 files you want on the audio cd.
As from Nero 5 this has always worked perfectly for me. Haven't experienced any problems or clicks when playing back the audio.
But the method describved by Squage wors perfectly as well, though I would advise Nero, since it can all be done in one program, which makes it easier for you.