Mp3 format should work on just about anything anyway but if you need some odd sort of format just download a converter from any of a million sites.
but what you need to do if i understand your question right
1)is go into a music player (wimdows media player, relplayer,etc.) and
2)put a blank cd into the drive
3)add the music you want to a burn list and
4)then burn your cd and there you have your music