if you're using winamp, you can use the output plugin: Nullsoft Disk Writer, or use another software like Musicmatch or sumthing to convert then to .wav and/or use a software like nero to track them for you.. i think that would work.. :heh:
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.