If you're using something like Winamp to play them you can use the winamp DiskWriter plugin to convert MP3's to WAV files, which should be burnable with most CD Burning software.
If you're using something like
Nero to burn CD's, it will do all the hard work for you and convert MP3's into an audio CD automatically (using the make audio cd option).
You should check out your current cd software, it may already be able to do it.
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