If you have Nero (any version past 5, that's the earlies I used, don't know about earlier ones) activate the Wizard, select make a new audio CD, and the program will open up a special menu. In it you can select the music tracks you want on the CD (keep in mind though, that you've only got a limited amount of minutes per CD, 70 or 80, usually), then burn.

I don't know about other programs, Nero is the only one I used ever.