when you burn to a cd, the files have to be converted to cd audio and a 3mb mp3 will take up a LOT more space in CDA format than in mp3 or wmv or whatever format you have on your computer.
it's the same reason that retail cds only contain ~20 songs (depending on length)
you can burn the files as data if you have a cd player that will read mp3s. the cd deck in my car is capable of reading mp3s just liek windows media player for example does. i can burn a couple hundred songs onto that cd as a "data disc" then read the DATA (not songs) back on my car stereo.
if you don't have a playback device capable of reading the files that you have selected from your computer then you're stuck with the audio cd limitation.
as far as burning to a dvd...cd players can't read dvds.