Those are good suggestions that Russ made.I use either Roxio Easy CD Creator or Nero. Of the two, Roxio is the easier to understand for creating CDs of music. Sometimes I use Real One's burner for doing Music CDs.
As Russ said, you have to have each song recorded as a separate file. Depending on which format you have it stored as.
Real One's burner softwaare seems to handle all of the standard formats, RA, WAV, MP3.