the technology to play MP3s *as* MP3s from a CD is fairly new...if you want to burn a conventional CD, which is .wav files, you need to convert them, as alluded to above...several programs will do this, including DBPoweramp, JetAudio, and MusicMatch...it is getting easier all the time.

You will need a special device to play MP3s (in a portable gadget)....those are getting cheaper and more common also...