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You can burn CDs through Microsoft's Windows Media Player software (or something similar), which comes with Windows XP or Vista for free. Select "Burn" from the menu at the top and choose "Audio" from the drop-down list, and then choose the files you want to add.

Pop in a blank CD, and at the bottom of the list you'll see "Start Burn," which is pretty self-explanatory. Depending on how big the file is, most CDs finish their burn or copying within a few minutes. That's it!