What you could do is make a playlist file of the MP3s you want to burn. Then burn this playlist with the MP3 file onto CD. (this CD will not play in regular audio CD players)
If you want to play the mp3 files in the desired order, all you have to do is open the playlist in Winamp.
However, if you want to create an audio CD, all you have to do is Nero and select the songs and drag them in the desired order to the audio CD layout. (this CD can be played in regular CD players)