First, most people convert their music into MP3 format because it makes the file size small enough to be managable for Internet transfers. However, the MP3 format is a "lossy compression" format, meaning some quality is lost. This is mostly irrelevant, though, as MP3s are the largest source of songs, so you don't have much choice. Few people post raw WAV files, as they're 10 times as large.
Once you have the MP3 files, the next step depends on your software. The latest versions of most CD burning software will convert MP3s to CD format in real-time, so you can burn them directly. If your software can't do that, and you can't get software that does, then you can convert your MP3s into WAVs, and your CD software CAN handle WAV files.
To do that, you'd need something like WinAMP, which can be set to send it's output to a WAV file instead of to your sound card. You then "play" the MP3, and a WAV file is generated (but no sound plays while that happens). You do this for each MP3 to create a corrsponding WAV.
Here's a link that may help:
[url]webhome.idirect.com/~nuzhathl/mp3-faq.html[/url]
-Troy