first off you need to figure out what format the music is currently in...mp3, WMA, ogg vorbis, etc etc. Once you figure that out you need a program to convert the music to CD audio format and then you can place the songs on CD.
I use a program called music match jukebox that will convert music back and forth from cd to mp3/wma or mp3/wma to cd audio. I'm sure there are other programs out there that will recognize and do the converting for you. Musicmatch jukebox was taken over by yahoo and I'm not sure what happened from there as I refused to update to yahoo's ca ca.
Google is your friend just search "converting and burning mp3 to cd audio"
That should be a good starting point. If don't get the answers you need post back and I can help you with some links and reading material. I can't do it now as I'm at work. It's not difficult.