Of course, you need to have a CD-burner as well... I think they're getting pretty cheap nowadays. Obviouisly, you also need something to put the MP3s on, which is a CD-R - you can get a stack of 50 for like $25. Then you need a CD-burning program - if you only want to burn music CDs, you could try Acoustica CD Burner
, but if also want data CDs or ISO copying (trust me, you will) then go for Nero
, which is a truly awesome app. However, most CD burners come with their own software these days, which does the job in most cases.