This is with my Windows Media Player Version 11. Results may vary with other versions. I usually use iTunes to burn my CDs, but I hope this helps you figure out how to use WMP.
1. Open Windows Media Player.
2. File -> Add to Library. Select the folder your MP3 files are in and press OK. Let the files load into WMP.
3. Go to Burn.
4. Using the options to see by Artist, by Album, by Song, by Genre, etc., find the songs you wish to put on the audio CD.
5. When you find a song, right-click it and click "Add to 'Burn List'".
6. Fill the 'Burn List'
7. Click the "Start Burn"
8. Your CD drive should open for you to insert the blank CD into.