Your OS has to have the correct codecs to do this conversion on the fly.
These can be in the CD writing software or your OS as long as the CD writing software has a path to the codec.That is for an Audio CD.
If what you are after is a multialbum data CD the ImgBurn will do that.
Your CD player has to be capable of playiing this type of disc.Some are & some are not.
The newer & better quality your CD player is the more likely it will do this.